Yes, in theory a regulator will waste a small amount of energy. But, a resistor also has this same problem. Think of it this way, a regulator is a smart resistor...
In simple illustration, if you needed 4 volts to a LED, you would build it with 3 cells (4.5 volts) and place a resistor in series with the circuit so that it waste 0.5 volt. This would give you 4 volts. At 75% battery power (3.375 volts), the resistor will still absorb something like 0.375 volts, but would deliver about 3 volts to the LED {ie. 3.375 - 0.375 = 3.0 volts)...
If you were using a regulator, at 4.5 volts, the regulator would be absorbing the same 0.5 volts to produce 4.0 volts at the LED. But, when the batteries are at 75%, the regulator effectively shut down as it senses that it is under the cap voltage. In this state, will absorb something less than 0.02 volts. Therefore your voltage available to the LED would be something like 3.373 volts (ie. 3.375 - 0.02 = 3.373 volts)...
A regulated circuit's calculated break point for full brightness would be around 88-89% of battery power. After this, it will dim, but still would be much brighter for the remainder of it's battery life. A regulator waste much less energy as the supplied power source degrades. A resistor waste the proportionate amount of energy throughout the life of the power source...