might not be that the wavelength is more efficient, but until a couple years ago we couldn't make blue LED's or Lasers. Red lasers have been around longer, so we've had longer to work on them and make them more efficient.
Actually, the red laser diodes we have now take less voltage, but more current to produce the same power as a blue one. Reds have a typical Vf of ~2.4-2.8v at high currents where violet LDs have a Vf of up to 7v at high currents. But if you look at tests done by DTR, he takes pictures of the power supply and laser power meter as he increases the current. Typically, laser diodes are about 30% efficient all around. But newer laser diodes like those 520nm green LDs are about 10% efficient. The lasing material just hasn't been around very long, and the manufacturing process needs to be refined.
DTR's test on 700mw green laser diodes: https://sites.google.com/site/dtrlpf/home/diodes/ndg-700mw-520nm-laser-diode