The engine should be more efficient when operating at a wide open throttle - because it doesn't have to suck quite as hard - but I have completely failed to measure any difference. Maybe I wasn't doing it right.
With a wide open throttle, the volumetric efficiency is improved. In effect, this means the engine works at a higher compression ratio, which improves the efficiency. As you say, pumping and frictional losses are less at lower rpm, too.
A compression ignition (Diesel) engine is very efficient because there is no throttling, only control of the fuel quantity introduced.