Does the size of switch-mode adapters affect their efficiency?
Your photo comparison is fun, but:

Don't forget that "heating up" is a function of wasted power, and ability to get rid of heat, and that 


white is not a good color for radiative cooling, and 
all ambient cooling mechanism scale with surface area. 


Anyways, the general rule of thumb holds:

The losses incurred in a switch-mode power supply are in two places:


switching losses in the semiconductors (mostly: MOSFETs in these compact devices)
losses in the transformer


For 2., the same rule of thumb as you quote applies.

For 1., generally, the lower the rds,on of a FET needs to be, the larger it has to be. 

So, yeah, same, but also:

You don't have to optimize a cheap 10 W Apple-design-imitation wall wart supply as much as a 100 W notebook supply; 15 % of 10 W isn't that much. 15 % of 100 W is significant. Relevant "What If?" article.