No, they don't. Not per lumen. Only as percentage of power consumption, which doesn't mean much when the power consumption is so much lower.
Yes they do. LED lamps have to dispose nearly all of whatever that is not emitted by conducting it away from the LED elements and ballast components and into a heatsink for cooling by convection. The exterior of dedicated LED luminaries are thermally connected to the ballast and LED elements. Their ability to directly shed heat as radiant energy is very limited.
A 25W light bulb and a 25W cement resistor behaves quite differently and LEDs behave more similar to the resistor. It maybe radiating perhaps 30-40% of incoming energy as radiant visible light. You put a 25W light bulb in a large globe and much of the energy would escape straight through the glove as radiant energy. If you were to paint the globe black, it would heat the entire globe and allow the whole globe to work as a heat sink. Well, if you run a 25W power resistor in place of the light bulb, it would overheat, because it can't effectively carry the heat out. You'd have to use fins and an internal fan to effectively transfer the heat to the outer globe. If you fed 25W of power into it, it would continue to get hotter and stays at a temperature at which point equilibrium is reached, but this point is much above the allowable temperature of the component.
Heat dissipation through conduction is quite small for incandescent lamps. Vast majority of wattage is released as radiant energy mostly in infrared range. Some directly by the filament, some by heated argon/nitrogen mix which then heats the outer bulb(this is why gas filled bulbs get much hotter to the touch than vacuum bulbs)
The hot glass then re-radiates as long wave infrared. The radiant emission vs temperature is exponential and the entire glass bulb carries the heat.