Hi James,
Glad you enjoyed the talk. Let's talk about the first detection. The two initial black holes were 29 solar masses and 36 solar masses. When they merged, the resulting black hole was 62 solar masses. 
So:
(1) The resulting black hole is NOT smaller than the two that went into it.
(2) But you ask a very important question, which is where does the energy radiated come from? Some arithmetic with the above numbers shows there was 3 solar masses missing in the end -- it is, in fact, the energy that went into the gravitational waves. But where did it come from?
So the answer to that is subtle, but it goes something like this:
A black hole is not a solid thing, like a planet or star. It is made up of PURE GRAVITY. We describe it as having a mass, but that mass is really a statement about how strong the gravity is. A heuristic way to understand how we define the mass is imagine an orbit far from the black hole. If you didn't know you were orbiting the black hole and just knew how big your orbit was, how much mass would you say is creating the orbit?
Now, here's the sticky part: there is some number we associate with the black hole we call "mass" but it has no tangible substance to it, so what is it? The "mass" is the total gravitational energy of the black hole (remember: mass and energy are equivalent).  What that means is the black hole is formed of pure gravity.
So how does that help answer your question? The "gravitational energy" of the black hole isn't just stored behind the event horizon -- it's stored EVERYWHERE, in varying amounts. It has to be the case that some of the energy of the black hole is stored outside the horizon where you are, or you would not feel the gravitational influence of it!  In technical terms: the storage of gravitational energy is "non-local" and the storage mechanism is in the bending of spacetime.
When we say "3 solar masses of energy were radiated away" that energy is energy that began and remained external to the event horizons.
Does that help some?
Clear skies,-- Shane
Shane L. Larson, Research Associate Professor               	KF7WOZ
Associate Director, CIERA, Northwestern University Center for Interdisciplinary Exploration & Research in Astrophysics Fellow, American Physical Society