Low is “more efficient” in that the Wh/mile rating will be lower. It’s not lower because it’s better at recouping energy, it’s better because your average speed is lower. (numbers here are made up, but examples) If I want to exit the highway and only use low regen, I must disengage cruise control and start slowing down 1/2 mile from the stopping point. If regen is set to standard, I disengage the cruise control 1/4 mile from the stopping point. This means that when set to low, you stopped consuming energy to propel the car 1/4 mile earlier. Do that enough times and your energy use drops considerably, but your average speed is also dropping.
Your throttle pedal is a rheostat, not a toggle switch. You can coast in an EV, but you can’t let off the throttle to do it. Look at the dash as you slightly press on the throttle. You can easily hold your foot on the throttle to perfectly coast (no regenerative braking and no propulsive power either / on the Model 3: no green/black bar right below the speedometer). Just set the regen to max (standard) and modulate the throttle to however fast you want to decelerate in that particular instance. The only time I don’t have regen set to the maximum setting on an EV is in icy conditions, but I almost always have my foot slightly on the throttle to keep the EV from slowing at its maximum regen braking capability.