I agree that in the lower gears the losses are higher due to the torque convertor, but in top, if you have a torque convertor lock up (basically a clutch that engages) then the losses will be similar to a manual...
Measurement of losses using coast-down will conversely give a lower loss figure due to "losses" in the drag reading due to the convertor...
You also have to be careful when putting you car into neutral at max rpm and letting engine rpm drop too quickly - this has melted a few BMW auto boxes I hear...
Cheers
Rog
p.s. some of the detriment in performance on autos is due to them often having fewer gears than their manual equivalent...