One of the big factors contributing to wasting heat with a natural draft unit heater is the fact that it'll keep right on acting as a chimney and sucking heated air out of the space even while its not running. Obviously the building can't be pulled into a vacuum, so every bit of that warm air that goes up the flue is replaced by outside air pulled in around doors or at any other cracks.
Most closed combustion systems run a lower outlet temperature on the flue gas by extracting more heat before the flue gas is discharged. The extreme case of this is condensing appliances where you recover the latent heat of vaporisation by condensing the moisture out of the flue gas prior to discharge. Lower discharge temps always equate to greater overall efficiency, and any natural draft type unit is incapable of this additional heat recovery.
If you had 2 units using the same quantity of combustion air, with one drawing from the space and the other drawing from outside, the numbers would show no difference in efficiency. One is using 30cfm of air that's already been heated from 0 to 60, while the other has to heat its outside air from 0 to 60, and then both heat that combustion air from 60 to whatever the combustion chamber temp happens to be. But, those numbers by themselves are a little misleading. Comfort heating is all about.... Comfort. The cold drafts caused by the makeup of air pulled from the space will tend to make the average person set the thermostat slightly higher. This cold air is typically going to move across the shop floor until its sufficiently diluted by the warmer air in the space such that its no longer noticable. The natural response, even from the guy who's paying the gas bill, is to crank the stat up a little to offset his cold feet and legs. The unit that pulls its air from outside doesn't contribute to drafts, so, although the efficiency of the two may be the same technically, the closed system will still result in lower operating costs in most cases.
Personally, I think all unit heaters suck from a comfort standpoint, with the possible exception of a low outlet temperature downflow unit with a big steam line hooked to it. The advent of radiant tubes and other types of heating systems for shops has greatly reduced the production volume of gas fired unit heaters, and the price has gone up accordingly. As you've noticed, the closed combustion versions are about twice that already high price. At the same time, the increased popularity of high efficiency gas furnaces has kept their prices relatively flat over a long period of time. For gas fired forced air heat, I'd look closely at the cost of a condensing furnace. You could hang a horizontal one with a plenum and a couple diffusers on the outlet and have a more comfortable heating system than you'll get from a unit heater, or you could add some ductwork with diffusers along the bottom, and have an even less drafty heating system. The noise level will also be substantially lower than a unit heater. Last time I looked, you could buy a 115,000 BTU 95% efficiency Goodman 2 stage variable speed gas furnace for about $1000. I haven't priced any closed unit heaters, condensing or otherwise, but I'll bet you can't touch them for the price of a gas furnace. We installed a lot of Goodman equipment in small commercial jobs, along with a lot of Carrier and Trane, and found the Goodman stuff to be every bit as reliable as the other brands, for about 1/3 less money in most cases. The main difference in the price of Carrier and Trane equipment is that bazillion dollars they spend every year on advertising.
