Efficiency of a heating device is measured by how much heat is given off in comparison to the fuel energy consumed. A chimney does not ordinarily provide heat to the home, so is not part of the equation. The heat required to cause a draft in a chimney is considered a waste of energy for the purpose of heating; so, manufacturers use direct venting to avoid that waste and make the heater more efficient by extracting the heat that would be wasted and putting it into the water or air to the rooms. Efficiency rating charts show that extra efficiency.
Oil is far less expensive than propane per heat unit in most parts of the country.