This question is actually very reasonable, and your premise is not wrong.
Certainly it's true that some potential energy is wasted in the process of creating the proton gradient (when electrons are transferred from NADH to O2) and then using the proton gradient to create ATP (by ATP synthase). And you're right, it would be much more efficient to somehow link NADH oxidation to ATP synthesis more directly. Physically, this is trivially true (and it's also true for every other series of reactions).
The problem is that biochemically, it's completely unclear how to actually do this! In fact, there was an enormous mystery about this in the field for a very long time. It was known that somehow electrons were transferred to oxygen, and that this was linked to ATP synthesis, but no one knew how the energy was transferred. People postulated that there was another high energy intermediate such as ATP, but no one was able to find such a molecule. The current theory, known as the chemiosmotic theory, was proposed in 1961 and eventually won Peter Mitchell the nobel prize (https://en.wikipedia.org/wiki/Chemiosmosis#The_chemiosmotic_theory).
If you want to take the water analogy, it's as if biology just doesn't have access to a water wheel to generate energy directly from the flowing water. But it has something that can generate electricity from water falling to the ground. So it pumps up the water, uses the tools it has to generate electricity, and accepts whatever small thermodynamic loss is associated. This is a common motif -- there simply aren't biological molecules that can catalyze every single possible chemical reaction.