VM languages (.NET and Java)

I really don't understand VM languages, compile at runtime etc...
It seems very inefficient for anything higher than form based applications.
Plus you need to distribute the VM engine with your code, granted this isn't a problem if the language is popular enough.

I've yet to see any resource intensive or large scale programs (not web based) that are written in VM languages (Java / .NET).

Almost all the games, graphics software, Office applications and compilers seem to be written in low level languages (C/C++/ASM).

And I really can't imagine any major developer writing in an application that depends on a VM in the near future.

Am I wrong?