Why is AT less efficient?

[Snax]

I've noticed that our F150 simply will not engage the lockup in topgear until it heats up which is typically a good five minutes or more down the road. During this time, economy drops from about 18 mpg to 16. I can only guess that the ATF viscosity is just too high to engage the lockup until warm and that extra 2 mpg is essentially diverted to heat it up. So the question is, will synthetic ATF improve the time lag until lockup is possible?