That is not logically true.
Bear in mind that ALL electrical heating appliances are 100% efficient, meaning if they consume 1kWh of energy they give out 1kWh of energy. Its one of teh beauties of electrical heating.
Assuming you are only referring to the cost of electrical power used, then if your Alde heater used 8kWh of energy to heat both the caravan and the hot water, if you used separate appliances to achieve the same result you would still only use a total of 8kWh of energy, but it would be shared between the heating appliances. So there would be no cost or efficiency difference.