There's no expected correlation between a driving mode you find more pleasant to use v.s. that which returns the best economy. Even on a highway you might need to adjust your right foot occasionally and any unnecessary regen applied due to being in anything but Level 0 incurs slight losses. A driver with a very steady foot in Level 1-3 should in theory be able to exactly match one driving in Level 0. Being in Level 0 just makes it easier to avoid wasting momentum for no reason. I expect Auto Regen would be similar to Level 0 but I don't use it personally.
The rubber-band effect is misleading as you do lose about 30% of that energy recovered from regen. It may not be a highly-tangible amount but it's there, being just the reality of power conversion and frictional losses between the battery to the wheels, wheels back to the battery, and finally the battery back to the wheels again.
