Well, not really.

Methane is basically just hydrogen gas, but with one carbon for every 4 hydrogens. This means you can do stuff like liquefy it at higher temperatures and lower pressures, and it doesn't diffuse out of materials or otherwise destroy the materials (or seals) it's stored by.

>with the only advantage being that you can store more energy per unit volume at large scales.

In a vacuum, maybe; in real life, absolutely not. Hydrogen that is stabilized by a sufficient number of associated carbon atoms can be stored in plastic containers at standard temperature and pressure; naturally, we use the fuel that has just enough carbons that, while nominally a liquid, but would really rather be a vapor.

Because that stabilizer is part of that reaction, the best one from a CO2 perspective is the one that has as little of that stabilizer as possible. Which is what methane is.