VO2 max is the maximum capacity of your body to transport and utilise oxygen in one minute during maximal exercise. If your body can take in more oxygen, and deliver it to your working muscles, then you have a higher VO2 max.This is your maximum aerobic power output.

Running economy is the amount of energy or oxygen consumed while running at a speed that is less than maximum pace. Typically, the less energy required to run at a given pace, the better. If your body is able to use oxygen efficiently, it is indicative of a high running economy. 

Running economy has been linked to success in distance running, providing a more reliable measure of ability than VO2 max. However, VO2 max is still held in high regard for endurance sport, despite there being a trade-off between oxygen utilisation at peak workload compared with sub-maximal.

A study published in 2019 studied a young cyclist with the highest ever recorded VO2 max, who retired not long after a short and underwhelming career as a pro. Why? Because he was inefficient. In describing the study, sports writer Alex Hutchinson described their finding the boy "had a Ferrari engine, but guzzled fuel wastefully".

From the researchers blog, they note that increasing power output comes with a mandatory trade-off; loss of efficiency, saying “It is a little bit like shifting to a lower gear when driving a car; your engine will require more fuel but you can power up steeper hills faster.”

Their summary as to why: "The reason stems from a metabolic bottleneck in the mitochondria, often called the powerhouse of the muscle. The bottleneck is a protein complex deep inside the mitochondria termed 'complex I'. At lower power outputs, such as during long endurance rides on your bicycle, the muscles energy stores are burned efficiently using complex I to full extent. When power output is increased, complex I reaches it full capacity. So to be able to match the energy requirements mitochondria start to bypass complex I, choosing a metabolic strategy with a higher capacity but a lower efficiency. This allows the muscles to produce more power, but also more heat. Going into power mode thereby means that your energy stores are zapped faster and the athlete risks hitting the wall before reaching the finish line".

Ref: Nature article linked here