Why Feed line loss comes from the resistance of the conductors, dielectric losses in the insulation, and small leakage. Energy that does not reach the antenna has to go somewhere, and by conservation of energy it ends up as heat in the cable. That is why long runs, higher frequencies, and thin coax all reduce the power actually radiated, and why a lossy line can run noticeably warm at high power.
Watch out High SWR causes extra loss, not the other way around, so the choice about increasing SWR reverses cause and effect. Harmonics are generated in the transmitter's nonlinear stages, not by a passive length of coax.
Lost RF does not vanish, it warms the coax: loss equals heat.