Adding to what others have mentioned, you probably don't use the same type/source of heat for the full house. A typical space heater is resistive heat, which is simply turning electrical energy into heat energy (at 100% efficiency). Your central heat could be a Gas-powered furnace (converting chemical energy to heat energy at ~90% efficiency), heat pump (converting electrical energy to heat at 300+% efficiency), or a few other options.

In my area, gas is much cheaper per joule than electricity. it ends up being the same price to heat the entire place with gas as it would be to heat just a room with an electric space heater. If I were to use a kerosene space heater, or a heat pump, or whatever else, then the numbers would change.

Yes, basic math says it uses less energy to heat a smaller area than a larger one. But that's assuming the same type, cost per unit, and efficiency. This is unlikely unless you have the worst option on both (resistive electric heat)