That's the reason they have a lockup clutch, to make the drive train more efficient at relatively high ground speeds.
If the lockup clutch engaged in 1st speed forward, then either the loader would spin the tyres or break something in the driveline. That would be the only option because there would be no slip in the torque converter.
Let's have a bit of a tutorial on lockup clutches shall we..?
Here is the power flow in converter drive. Engine is on the left, output drive shaft to the transmission on the right, so the red housing on the left is connected to the flywheel/flex plate, or however it is driven. The power flow goes through the red housing and turns the impeller (also red) that is bolted to it. The impeller forces the oil through the stator (multiplying it's power as it does it) and turns the turbine, and because the turbine is bolted to the output shaft the shaft turns. Simples.....
Now engage the lockup clutch on the left. The red input housing on the engine flywheel side and the turbine (that was previously being turned by oil from the impeller via tha stator) is now locked to the output shaft and the drive goes direct from the engine flywheel to the output shaft. Downside is that in this state there is no "fluid clutch" between the engine flywheel and the drive train. Also the oil passing through the torque converter, although it is doing nothing drive-wise, would heat up rapidly because of its convoluted path through the converter. The stator (green) is mounted on a one-way sprag clutch comprising a set of rollers & springs a bit like a ratchet mechanism. The sprag clutch allows it to rotate in one direction but not the other. In lockup the stator is turning, in converter drive the oil pressure on it causes it to back up against the ratchet which holds it in one position. In my experience on wheel loaders the sprag clutch mechanism is the Achilles' Heel of torque converters that are equipped with a lockup clutch.
