You are, but that’s because the furnaces have confusing descriptions. They all use the same materials for their products, the differences are in the crafting speed and in the fuel usage. So the heat-efficient furnace will use more fuel but craft faster, and the fuel-efficient furnace will use less fuel but craft slower.
Here’s a post from another thread that breaks down the numbers:
Note that the post in question is from November 2020, so the numbers might have been tweaked further since then. You can check the wiki for the up-to-date furnace comparison.
I still think kilns are the overall best choice, but that’s my own personal preference 