You're seeing the difference between raw thermal efficiency and thermal-to-electrical efficiency.
AFUE is a thermal efficiency. It's how much useful heating you get per unit of fuel heat. It's pretty easy to get that value near 100% in some cases, and if we include heat pumps, then it can go over 100%.
By contrast, electric power plants have to convert thermal energy into electrical energy. This tends to be a pretty lossful process:
Practical thermal efficiency of a steam turbine varies with turbine size, load condition, gap losses and friction losses. They reach top values up to about 50% in a 1200 MW turbine; smaller ones have a lower efficiency.
-"Steam turbine", Wikipedia
50%'s a pretty decent high-end (optimistic) estimate; 40% might be a decent value to assume. Anyway, this conversion factor tends to lower the relative efficiencies in thermal power stations:
The energy efficiency of a conventional thermal power station, considered salable energy produced as a percent of the heating value of the fuel consumed, is typically 33% to 48%. As with all heat engines, their efficiency is limited, and governed by the laws of thermodynamics. Other types of power stations are subject to different efficiency limitations, most hydropower stations in the United States are about 90 percent efficient in converting the energy of falling water into electricity while the efficiency of a wind turbine is limited by Betz's law, to about 59.3%.
-"Thermal power station", Wikipedia [formatting and references omitted]
For a theoretical discussion of these low effiencies, I'd suggest my answer to "Why is it so inefficient to generate electricity by absorbing heat?".