Almost all of the automatic transmissions built since the mid to late 1980's have a clutch in the torque converter that is actuated by a solenoid and a hydraulic valve. The clutch completely eliminates the slippage of the torque converter. In fact, if the clutch, solenoid, or the valve fails, the torque converter will get hot enough to turn blue.
An automatic transmission has a hydraulic pump that produces as little as 15 psi, and as much as 400 psi. The pump absorbs horsepower, the more pressure and volume required, the more horsepower absorbed. Even if the converter clutch is locked up, the pump still absorbs horsepower.
Few manual transmissions have a pump in them, those that do have a low pressure pump that supplies lubrication. Most manual transmissions are splash lubricated and have no pump at all.
These days, it is the pump in the automatic that absorbs horsepower and thereby increases fuel consumption. Lighter components, torque converter clutches, more efficient designs, and over drive ratios have closed the gap. Also, despite the clutch in the torque converter, the converter still slips when the clutch is not applied, and the clutch is most often applied at part throttle cruise, at speeds above 40MPH, in direct and over drive gears. In lower gears, and under acceleration, the converter slips in order to multiply torque, and some power is lost to slippage. So, most often, there is a bigger gap between manuals and automatics when they are not on the highway.