If you're burning fuel for power that's one thing, but you don't get any conversion losses at all if you're burning it for heat underneath/inside the thing you want to be hot.
You're not losing any if you're burning it inside the thing you want to heat (your home). You definitely lose a lot if you're burning it underneath the thing you want to heat (a pan on the stove); a lot of the heat goes around the pan. Just feel the air above the pan. All of that is wasted heat.
I could see gas being less efficient at heating a pan since it's using convection in an uncontained space.
What I was getting at was the fact that with electric, you're burning the gas inside a heat engine to generate power first, so right off the bat your best outcome is the Carnot limit.
The modern power plants with combined cycle have an efficiency of up to 65%.
The power plants with heat cogeneration have an efficiency of up to 80%.
I doubt very much that even half of the energy consumed by burning gas ends inside the cooking pot in most cases.
Regardless of the energy efficiency or pollution risk of gas stoves, there are people who prefer other cooking methods just because they like their results better.
Even if I have a gas stove and I continue to pay for gas as if I would use it, because I live in a condo and there is no individual metering, I have stopped using the gas stove several years ago.