It will improve as it loosens up, don't worry...
Mine was poor at first like yours, they don't really need to be 'run in' so feel free to give it a good 'alfa tune' now and then.
After about 3000 miles mine was showing a distinct improvement in economy and performance. I have now done over 10,000 miles and on a motorway journey 40-45mpg is the norm, i expect yours will be slightly better as mine is the 1.9
A number of colleagues have Audi's, BMW's and none of them return the figures claimed by the manufacturers.
Their is a fair amount of derv bashing that goes on on here, but it depends on the ownership really. If I didn't do many miles I would love a V6 or a TBI, but it is just not economically viable. Mine is not a company car but leased and the 40p a mile I get from my employer over the course of a year will pay for servicing and those well documented tyre issues. If i opted for a petrol I would be well out of pocket...
If money wasn't an issue and I wanted a toy, petrol every time, however, having said that I find that the torque from the diesel gives a very pleasing driving experience.
Horses for courses really, either way petrol or diesel, I can't think of a better way of travelling than in an Alfa