The key difference with microwaves is the amount of energy emitted
Microwaves don't have more "energy" than visible light per photon. But this is irrelevant in the case of a microwave oven.
There are two reasons for this but the first one one (as described in the existing answer) is actually a distraction: microwaves are relatively efficient at exciting molecular rotations and vibrations (especially of ions) so dumping their energy as heat in the object they are interacting with (usually your food).
But this is a distraction from a more significant point: microwave ovens push out a lot of microwave energy, usually a little under a kilowatt. This is about 10 times the energy radiated by a traditional incandescent (visible) lightbulb. If you could dump that much visible light into a small volume and your food absorbed it, it would cook. But you are more likely to end up with a very hot box and food that wasn't cooked efficiently. Many electric heaters (radiating red and near infra-red photons) push the same sort of power as a microwave, but they radiate it over a much larger area and don't cook you because the energy is dumped over a very much larger volume. Unless you stand too close.
Electric grills are basically just very powerful incandescent bulbs tuned to emit most of their radiation in the near infra red. They emit similar power to a microwave (~kW) but don't cook food as efficiently as infra red is mostly absorbed by the surface of the food they heat (microwave energy penetrates more deeply allowing food to warm from the inside. Interestingly very salty foods may not cook as well in a microwave as surface effects (where the radiation couples strongly with the dielectric fields caused by salty ions) absorb more of the microwave energy near the surface.