I don't know if they will behave like a normal psu when strung together like that.
The power wires are short as they're meant for a tiny motherboard/case, and there's no SATA or SLI connectors on them.
As for energy efficient, I'd just take the money you'd put into 4 of them and use it towards a nice 85+ unit like a Seasonic.
I haven't tested my Pico with my meter, but a normal comp psu only draws from the wall what it needs plus it's efficiency difference (>15%) so that may have the Pico's beat for efficiency. (it's not that the Pico PSU's are inefficient, but they run off of a laptop supply and I don't know if they draw what they need or if they draw full rated wattage all the time).
Now you got me thinking, and of course I'll have to get out my meter after work this evening....