Realize that until your coolant gets up to the temperature required to open the engine's thermostat, your interior heater core "is" the engine's radiator. Driven at speed, enough fresh air is being forced through the system to draw some of that hot air out onto your feet.

Engine's not necessarily inefficient. All internal combustion engines put out a lot of heat as a byproduct of combustion. I'd rather say that it has a fairly efficient heating system.