Not necessarily. Some are very efficient, even with a 510 connection. In depends on the materials, design, and craftsmanship. The fewer "joints" the better. So a single tube 18650 is better than an adjustable 18350-18650 that requires you to screw on extensions. Metals matter too. SS has lower conductivity than brass, and copper and aluminum are much more efficient.
Silver plated contacts help, and we'll machined threads conduct the current better than sloppy ones. Whatever you have, it will be most efficient when properly cleaned. Built up gunk in the threads or on the contacts also causes voltage drop.
Think of it like a garden hose with a pin hole in it and a pressure nozzle on the end. If you close of the nozzle then turn the water on very low, you'll get a slow dripping from the hole. If you turn the water up really high, you'll get a stream of water shooting out. That's how the inefficiencies work in a mech mod as you go low and increase the current.
For most mechs, it just limits how high you can get as far as wattage is concerned. For very inefficient mods, there's a point where voltage drop becomes exponential. Meaning, the lost current of dropping .01 ohms in resistance is greater than the increased wattage you get from the drop. You can tell when this happens because the threads or switch on your mod will get hot where the current is escaping.