Comment by Workaccount2

>I’m curious if there are any exotic materials that would be way better dielectrics?

There are, but like glass they tend to be rigid crystalline structures, and not necessarily formable into what you need. There also is the problem that the dielectric needs to be perfect, as any imperfection becomes a pressure point and once you get even a microscopic breakdown, the whole thing is junk. Any practical repair is going to be very imperfect on the molecular level, so see what I said earlier. Also gaps are imperfections, so usually layering layers of dielectric is a non-starter too (but can be done, it's just very engineering intensive). The HV will "leap" from imperfection to imperfection until it finds it's ground. Insulating HV is a totally different world than your typical 240V, 480V, even 1kV insulation.

>Also are there ways to step down really high voltages? I can’t picture how the electronics would work without shorting

Yes, they basically use stacks of thyristors or IGBTs to actively switch the DC "phases" which get fed into a transformer to step down. Wikipedia has a surprisingly good article on it:

https://en.wikipedia.org/wiki/HVDC_converter