The reason why they are more efficient at lower end is because mechanical efficiency is the highest and your brake specific fuel consumption (horsepower/fuel ratio) is lowest. The lower the bsfc the less fuel it takes to get a certain amount of power. The method of fuel delivery might change combustion efficiency slightly (different mixing and turbulence in the cylinder) but it wont change mechanical efficiency at all, and combustion efficiency is already pretty high at low RPM too (above idle). So, gas mileage will always be worse at high RPM, which is an advantage of having a higher gear to shift into (overdrive).
What direct injection does differently is controls the fuel more accurately in each cylinder. With indirect injection, fuel is often robbed by other cylinders, and fuel bounces up and down with the waves in the intake runners, so it is harder to get the correct amount of fuel inside the cylinder when the engine needs it. This means that direct injection gives better fuel delivery across the entire RPM range.