Why would it lower AC efficiency? It doesn't use the exhaust air for anything. (Obviously you shouldn't block it)

No, the fans are quite strong and have an effect up to a couple meters away. I think it is more like a cat sleeping on the hood of a car. The waste heat needs to go somewhere, might as well put it in my clothes.

They hang it near, not on top of the vent. And if the exhaust is outside the unit (balcony, etc), it would have basically no effect.