Where is most of the powerloss in a PSU?

Hi!
All components loose "power". Better it is to say, they use power and power is transfered to heat.
This does not mean that high-efficient PSU are easier to cool. A 1.000W PSU still will transform more than 100W to heat. And a "small" PSU with 300W only transforms 60W to heat, even it has a lower efficiency.

Most power is transformed to heat from the MOSFETS. They are already connected directly to the heatsinks. Also because of the EMI but also because of the massive heat they "produce".