But I think physics tells us it has to be somewhat inefficient, given losses converting gas to electricity and then to propulsion, compared to just using gas more or less directly for propulsion, especially when “gear mode” can come into play.
What is your local mileage strictly using HV mode (or "auto" with 2 bars EV)? It should be higher than HV+.
I agree that in theory using charge mode followed by EV to use the built up charge should be less efficient than just using regular HV. But we have heard anecdotally on this thread and other threads that it is apparently not that much less efficient. The tests we hear about are always very limited, in many cases just based on one test run, and sometimes the tests claim that HV charge is equal to, or as claimed in a couple of other threads even more efficient than regular HV. Of course it's easy to dismiss limited test results, but I think they are useful in providing at least preliminary data, even factoring in the uncertainty of the limited tests they do point to charge mode as being at least in the same ballpark as regular HV and not wildly inefficient as we have sometimes assumed.
This is different than what I have read about Prius Prime where people do report charge mode as being noticeably less efficient. But Prius Prime has a more elaborate "real" CVT system and some clever gearing which allows the gas engine to directly power the wheels at pretty much any speed. So with Prius Prime using the gas engine to generate electricity is almost always going to be less efficient than directly powering the wheels.
Clarity on the other hand went with a much simpler and presumably lighter weight transmission where the gas engine only has one gear available to directly drive the wheels, and so it is only used at certain speeds and power demands. Most of the time the Clarity gas engine is powering the wheels through the electric generator. Not as efficient as direct drive but I am guessing that they decided that the tradeoff is worth the cost and weight savings of having a full transmission. Especially since for in town driving people will be using a lot of plug-in EV, and on highway trips the steady speeds will make gear mode available much of the time.
So what we are left with for the most part is just losses from storing and retrieving electricity using the battery, compared to using the electricity immediately to drive the wheels. Presumably above 58% charging becomes less efficient which is why HV mode is restricted to SOC below that range. But in the range where it is allowed the losses are presumably minor.
More elaborate and accurate tests would factor in gear mode, i.e. test runs at speeds that in HV use gear mode a lot, then do the identical test run using a combination of HV charge and EV.
But I think based on the limited data that we have so far, charge mode is probably only slightly less efficient than regular HV, however not enough to worry about if wanting to use it for aesthetic reasons, like reducing engine noise on a hill climb, or wanting to have EV range available at your destination, especially when you forget to place a sticky note on the dash reminding you to turn on HV when you leave the rest stop.