I don't think there's any significant inherent efficiency loss from those headers, it's mainly that you're now running suboptimal spark timing. If you adjusted valve timing, EGR, spark timing, etc. you would most likely find the mpg is basically the same as before.
Headers have a lot of influence on exhaust backflow and thus charge dilution and optimal spark timing, and spark timing being off a few degrees is enough to lose a lot of efficiency.
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