I've noticed the same on the ellipticals and find it very confusing,
Even with higher resistance on treadmills or recumbent bikes the calories don't match up.
W/ the ellipticals, even at the higher levels I don't feel the resistence either, yet the calories burned skyrockets.
Then again - when I exercise I exercise for exercise and don't concern myself with how many calories burned. If my heart rate rises up, I get to breathing heavy and I can maintain an increased rate like that for about an hour, then all's good.
Don't overthink the exercise thing.