Energy efficiency is only one part of the equation. There are economic and social efficiencies in using simple, eco-friendly components that are easy to build/transport/store/run/scale up. Those can easily offset any energy losses over the lifetime of the technology.
This is the concept behind combined-cycle generation, where an initial stage (direct natural gas combustion) runs a turbine whose cooling (water) drives a second-stage steam turbine. These can push total efficiency to ~60+%, with an ultimate efficiency of ~90+% possible where a tertiary thermal application which uses low-grade heat (anywhere from ~100--180°C / 212--356°F) can be used for some industrial, food-process, or space-heating applications, called cogeneration.
GE also has numerous offerings in this space, and I've seen trade articles describing this in the past, though I'm not finding any presently.
There isn't some majyckal process by which all thermal energy can be converted to motion (or by extension, electrical generation), but it is possible, with additional complexity and capital equipment, to extract much of it.
In winter I think the plan is to use the heat for district heating.
(which is also kinda interesting since in parts of Switzerland district heating through waste management facilities starts to be a problem due to a reduction of the amount of waste available)