Coil-held relays do indeed "waste" power as you say. However, you're paying for some value. The value is:
It can make a connection even when fully de-energized. In fact, at total loss of power, it makes a connection. These are the "NC" contacts. This makes it a good choice for backup power; you connect normal power to both the coil and the NO contacts. You connect emergency power to the NC contacts.
Positive interlocking. There is no case where NC and NO contacts are ever connected to each other. That is absolutely mandatory in certain power transfer applications due to the need to prohibit backfeeding.
Positive multi-pole throw. There is no case where pole 1's NC contacts can be connected whilst pole 2's NO contacts are connected. That serves a whole bunch of applications where this must be positively so: to name a few,
- Power transfer as discussed
- reversing
- Series-parallel switching
Remember, the relay does all that, and, when coil power is entirely lost, the relay actively throws with no power or assistance whatsoever.
Now, if you are willing to sacrifice the auto-throw-on-power-loss functionality, you can get all of the above with a latching relay where you throw with a momentary impulse, and then the relay throws. However, the relay will remain in this position indefinitely; it takes active action to throw it back.
Further, the 'active action' is a bit hard to manage. You need an impulse of energy for some interval of time. So you need to have electronics that sends the pulse for the required time interval to throw the relay over fully. Worse, you can't use extra contacts for that, because most such relays do not have the special contact needed: which would need to be closed until the relay is almost at end of throw.