They're not necessarily running the gas engine on the freeway. It's entirely possible to run electric-only on the freeway. It depends on the conditions, and acceleration (or lack thereof).
Then again, exactly the same is true when in town. In fact, a hybrid's more likely to use the gas engine more in town, due to stop-and-go driving. Hence the lower MPG rating for in-town driving compared to highway driving.
Yes, they emit exhaust. They just emit less. That's why they're rated PZEV (Partial Zero-Emmisions Vehicle): They emit exhaust when the gas engine's running.
My hybrid gets better mileage than my I4, but only because I typically only drive my hybrid on the freeway, in the slow lane, to and from work (yes, I have a HOV sticker, but I only use it when traffic's at a standstill in the other lanes, and the HOV lane is moving slowly).