Does food really give our bodies the energies that we have determined by burning them in the lab?
The device you refer to is a bomb calorimeter. Inside one of these, a sample of material is completely combusted. Typically, the heat from the combustion warms a measured mass of water and the rise in temperature is used to calculate the Calories/Joules in the material.

Of course our cells don't ignite food and burn it to completion. Even if they did, some of the heat from the process would escape collection. Cells use the process of cellular respiration to harvest the energy. The basic version of cellular respiration describes the utilization of glucose to create ATP, by far the most used substance to power the energy needs of the cell. Here's just one source that takes you through the calculations of how efficient this process is: http://www.tiem.utk.edu/~gross/bioed/webmodules/ATPEfficiency.htm

So, at least for the very common sugar glucose, only about 40% of the total Joules, as measured in the calorimeter, end up as ATP. Most other food substances we use for energy share much of the same chemical pathway as glucose. I haven't seen calculations of their efficiency but suspect it would be roughly similar.

One of the most basic and important lays of physics is that no transfer of energy is 100% efficient. (Read more here: https://en.wikipedia.org/wiki/Energy_conversion_efficiency ). The remaining energy in the glucose that was not converted to energy in ATP is "lost" as heat. By lost, it is meant that it's not avaible to do any useful work other than heat us up. Of course, being homeothermic ("warm blooded") animals, that's useful too.