There are still wasted votes. In a five-seat constituency, for example, all the votes for the runner-up in effect are wasted, but that's roughly one in every six votes in a five-seat constituency, whereas in a single-seat constituency, as under first past the post, half the votes could be wasted. It might even be more than half if the winner has fewer than 50% of the votes. The number of wasted votes under any kind of PR is much lower than it is under first past the post.
In answer to the first part of the question about how proportional the results are, they're fairly proportional. They're as proportional as the European norm. They're not super-proportional as in South Africa, but they are much more proportional than they were in your current election or, say, a British election.