Interior or central chimneys make more sense to me than ones against an exterior wall, and they seem common enough in houses of a certain vintage at least. If your chimney is on an outer wall, doesn't it radiate heat to the outdoors?
They loose heat to the outdoors as you say and since they cool down a lot faster than the internal chimneys it is also generally harder to get the fire going when re-lighting. The chimney on my house is on an outer wall and when it's below 0C I have to light a fire every day or it becomes too much of a hassle to get it going.
Houses in southern states were built with external chimneys which made sense for a couple reasons. Back in the day people would keep a fire 24/7 for cooking and that fire + southern heat is uncomfortable. Because of the shorter cold season the chimney was on the outside of the house. Also, in the case of chimney fires you could tie a chain around an external chimney and rip it down with a horse, hopefully saving your home.
Last place I rented with a fireplace, there was a metal door in brickwork below it in the basement. It wasn’t until after I moved out that I realized what it was for.
A massive stone fireplace that's heated with a single load of fuel, then has its chimney flaps closed to keep the heat from escaping, is going to be much more efficient. I wonder if maybe the fireplaces in many parts of the USA are actually designed to not heat the house too much, given the usual weather in e.g. Texas.