It's absolutely true that doing additional electrical work later is more difficult with spray foam, but that can somewhat be planned for in a shop environment by installing flexible conduit in the wall prior to having the spray foam installed. (We have closed cell spray foam in our entire 2200 sq ft home addition and I made the mistake of not putting the conduit in the wall in our media room for feeding additional future AV cables from the screen to the electronics below...and it was, um...fun...dealing with that) That said, spray foam provides about the best insulation benefit going, which mitigates it's slightly higher cost in a reasonable time period.
OP, BTW, I agree with the comments that if you have gas available, that's what you want to use for heating. I SO wish I would have extended gas out to my shop building when I had the opportunity, but failed to realize it.