I thought they would do smaller trades more frequently.
I think the tax-efficiency comes from the nature of the ETF itself. Vanguard's structure might make it less efficient because it has to share the ETF benefit with its mutual fund brothers and sisters.
Try to verify this. I just tested an exchange of shares in a Vg fund from taxable to ROTH and it appeared it was allowed. (I didn't actually submit the trade request.)
FWIW Fidelity apparently requires a form. It can be filled out online but I don't know if it can be sent online.