The object isn't to get the maximum power to the devices connected to a surge protector, it's to give the devices the amount of power they are designed for. Assuming the device is designed for 110 volts, a surge protector will keep it at that level when the incoming line voltage increases beyond 110 volts.
It is true that the difference between the surge level and 110 volts is wasted energy but the waste keeps your equipment from getting fried. The answer to your question is make sure the voltage the surge protector is rated at is the same as the line input and the rating for the devices you have connected to it. If you put a 110 volt protector in a 120 volt line feeding 120 volt devices, the device will not operate correctly and you will consistently waste energy.