Why are the Mr Heaters cheaper in price?

If working properly, either one should use about the same amount of propane for the same heat output, assuming both are unvented. It's the same basic chemical reactions taking place in either case; you're combining the propane with oxygen to produce water and carbon dioxide, the same basic thing as burning any hydrocarbon, and that releases the same amount of energy (i.e. heat) regardless of how exactly it's done.