Contents
Genetic algorithm
Result for string of length $2$
Upper bound estimate
Result for string of length $2\pi$
Result for string of length $8\pi$
Genetic Algorithm
I've been running a genetic optimization program with the following procedure:
- Create a population of 100 randomly generated piecewise linear curves with 10 points each
- Calculate the expected distance to the curve using a sample of 2,000,00 random points (*) uniformly distributed within a unit circle
- Pick the string with the lowest expected distance
- If none of the current generation is better than the string from the previous generation, pick the old string
- Create the next generation by making mutated clones of the best string
- Every 50 generations, before mutating the points, add a new point to every string by bisecting the longest segment.
- Go to step 2.
(*) The points are generated once at the beginning of the program and reused for every expected distance calculation. Using a new set of 2,000,000 points each time resulted in a variation of about 0.0002 for the expected distance, making it difficult to optimize.
A mutation occurs by choosing several random points on the string and moving them a small distance in a random direction (2D normal distribution with a width of 0.05 in $x$ and $y$). After every mutation, the line segments are rescaled to keep the total length at 2.
The distance from a random point $P$ in the unit circle to the string is the minimum distance from that point to any line segment. If a line segment is bounded by points $A$ and $B$, then the distance to the segment is calculated like this:
- If $\angle ABP > 180^\circ$ use $|B - P|$
- If $\angle BAP > 180^\circ$ use $|A - P|$
- Otherwise, use the formula for the distance from a point to a line.
Results of string of length $2$
After running for about two hours, it looks like there is a slightly better string than the circular arc. I'll keep this running overnight to see if there are any improvements.

The dashed line is the circular arc string from the question. The expected distance to the evolved string is about 0.30876, which I think is sufficiently below the circular arc estimate to call this shape a definite improvement. The evolved shape looks less pointy than an ellipse, so I'll just call it an oval.
The 16 points on this curve are
0.534482028180930824 0.0126067282609719084
0.481792598963642071 -0.0844140913057677134
0.429103169746353375 -0.181434910872507321
0.312359893502933694 -0.300284371336723088
0.290993923754623518 -0.319488836690039579
0.121815046351296696 -0.410847167378589173
0.0228001335821073903 -0.417606597290541393
-0.166624142233877476 -0.37627042911797437
-0.305153136000835101 -0.287553567921906339
-0.387346268908020264 -0.166360175207798666
-0.401712437463491778 -0.118390815418231279
-0.431196829376439494 0.0469926523874151653
-0.406683232078449863 0.179388202292579013
-0.321684078897212067 0.33003966307029492
-0.216886702723406377 0.449164930351805158
-0.136835330525382964 0.514266968314958883
Because it looks cool, here's an animation of the evolution (note that generations with no improvement are skipped).

And a plot of the expected distance improvement.

Zoomed in to show when the circular string was passed.

Update
After running overnight, I saw a small improvement.
The string:

The expected distance is about 0.30872 and the string has 20 points. The coordinates of these points are
0.533391056819413567 0.0124396831198378133
0.480802161601850464 -0.0843960159930918219
0.428213266384287305 -0.181231715106021485
0.399594557456859234 -0.215051649851339177
0.290367539567179089 -0.319022227302521499
0.162491717685006865 -0.387255051631992864
0.0532231710520457146 -0.422730426253747682
-0.0326242760244914512 -0.42372015478590136
-0.209809019183051199 -0.358847315372705256
-0.304642042534181756 -0.287147892584144693
-0.386074244415854362 -0.163574665314353662
-0.401017104142071534 -0.118307910859474341
-0.415731171269931032 -0.035773956816425409
-0.430445238397790475 0.0467599972266235231
-0.405978414238562069 0.178902929967859947
-0.363559928912068897 0.254084935190764583
-0.340056481628797924 0.282580853594441128
-0.320171502986650314 0.320900090281686479
-0.21654402591471858 0.44816491087746696
-0.136645395637610578 0.513142730978253359
Looks like this is the best result for a while.

And the animation:

Upper bound estimate
To estimate the expected distance to the string, imagine that the string of length $L$ runs down a strip of width $W$ and the same length. This strip should cover the whole circle, so $WL = \pi R^2$ where $R$ is the circle's radius. Since the strip covers the whole circle, the points evenly distributed on the circle will be evenly distributed on the strip. The expected distance of the points from the middle of the strip is $E = W/4$. Substituting in $W$ from the area formula gives us our upper bound of the expected distance from a string of length $L$:
$$E = \frac W 4 = \frac {\pi R^2} {4 L}$$
For the OP's question, $R = 1$ and $L = 2$, so $E = \frac \pi 8 \approx 0.393$, which is close to but over the value found above. Since this estimate doesn't include the ends of the string, the estimate for $E$ should converge from above to the actual value as the strings get longer.
Result for a string of length $2 \pi$
For longer strings (and especially so for the $8 \pi$ string in the next section), the question becomes how to create the initial string. Any part of the string that is outside the circle plays almost no role in the evolution because there is always a closer part of the string in the circle. So, changes to outside parts of the string have no evolutionary/selection pressure.
If the string is formed randomly, the string will be a tangled mess that will refuse to evolve due to--again--a lack of selection pressure. The animation below shows one such attempt. The string tries to contract itself into the circle, but beyond that, very few changes make much of a difference since the curve is already filling the space.

I could define a shape that does fit in the circle like a spiral. But, then the evolution would just optimize the spiral.
Instead, I started with a string of length one and gradually increased its length. The result for a string of length $2 \pi$ is below. The upper bound estimate for $R = 1$ and $L = 2 \pi$ is 0.125.

The animation (click if it's not animated):

The final points:
-0.789965772315220582 0.0688590194942716588
-0.635123875337368804 0.101269601077341453
-0.493985853928593732 0.130645638974163369
-0.352847832519818605 0.160021676870985313
-0.303247305648016552 0.200761733156218564
-0.182111197105746248 0.234165603974768155
-0.0609750885634759432 0.267569474793317719
0.0696892765059704683 0.225257842126424634
0.20035364157541688 0.182946209459531522
0.245352613251863416 0.0875156225823125189
0.29035158492830998 -0.00791496429490647427
0.220140536672614989 -0.167367653573868125
0.0379025150018416357 -0.246518822098659912
-0.164041863003723476 -0.287426807288701736
-0.333436579037961367 -0.253520148878966955
-0.436038173714576538 -0.269323548712919969
-0.538639768391191653 -0.285126948546873038
-0.657552340533045454 -0.370092816391728863
-0.608572645386628586 -0.474851348002647944
-0.559592950240211717 -0.579609879613567025
-0.407558968378748776 -0.658835809231687053
-0.255524986517285724 -0.738061738849807081
-0.0746515734291436639 -0.759291081048151018
0.0465673478210618386 -0.749292981038678363
0.167786269071267341 -0.739294881029205819
0.318058848732073518 -0.671463518615438182
0.468331428392879945 -0.603632156201670655
0.539943250879664438 -0.52035044427181254
0.611555073366448876 -0.437068732341954369
0.634923502781016946 -0.407093400733237853
0.701955363084923789 -0.289037169824628237
0.768987223388830743 -0.170980938916018593
0.764989637199154915 -0.0659588963881482387
0.760992051009479087 0.0390631461397221089
0.735832472827577799 0.215594173239415737
0.672507312974320093 0.340785228213138613
0.606917034940188893 0.422294793232195875
0.541326756906057804 0.503804358251253137
0.41293101485855499 0.635755882125824789
0.277364799070293211 0.69452495156150118
0.174881037858527294 0.726922934773930329
0.072397276646761391 0.759320917986359589
-0.104261261648935261 0.719734441399556779
-0.175273374080180899 0.740257165838633213
-0.274177504263063532 0.705216043683368099
-0.373081634445946109 0.670174921528103096
-0.519508890409527746 0.581713948810204884
-0.643814586069846095 0.496487084014361646
Result for a string of length $8 \pi$
The final string of length $8 \pi$ is below. The upper bound estimate is 0.3125, so the optimization still had some work to do. It probably would have taken weeks to reach.

The animation (click if it's not animated):

It's fun to watch these animations since you can see the string being repelled from the circle and itself.
And the points:
-0.908149251548652781 -0.176881493938176176
-0.778626793871330825 -0.465676985193421378
-0.682512702869958021 -0.684954035188139243
-0.328439090906057218 -0.874154212136622921
-0.122821883072939675 -0.991762740828703304
0.0256745801115173394 -0.906629246657542742
0.38277926286730557 -0.875779058402954669
0.629225449164431572 -0.67755563130426133
0.811854941474008496 -0.477252285390701747
0.975870850237779086 -0.0691491271974601918
0.911110709006401009 0.312670013120484258
0.628480503730717177 0.106811104202669815
0.831061822692592211 0.442729790958706459
0.677600131893868696 0.66494113399311694
0.473663184782259938 0.834408273966231295
0.0395878333214256459 0.964427060782276913
-0.224318022527461414 0.897606750852005697
-0.488223878376348397 0.830786440921734481
-0.621863841112510141 0.624361776777709321
-0.910794225817699421 0.397716329896854792
-0.868403915533289772 0.0980158880742023897
-1.00688926037944237 -0.0451930920961402874
-0.850669812067263442 -0.0301756271538094513
-0.787495019909643879 -0.245347094218471229
-0.68080882310702362 -0.471311621928754088
-0.601473856359548531 -0.576800865922418304
-0.492745922845012063 -0.415530250759919229
-0.220052727058845321 -0.2472227368765684
-0.432512820535818188 0.0669135841493738448
-0.285489429198421518 0.177416329514653109
-0.216345263367057339 0.391351048685292247
-0.139767533564176372 0.510267784274085034
0.0734186375176006795 0.756698056174620493
0.228906045923437662 0.520272935054901464
0.234440505407141619 0.286744772398684067
0.239974964890845577 0.0532166097424666557
0.190302620205054729 -0.176720144335227702
0.140630275519263881 -0.406656898412922074
0.287397084141015224 -0.142211082443577719
0.370043485207505574 0.30070630832002887
0.550244973784396962 -0.106755356269265647
0.318460903980199994 -0.304932459940684519
0.211673640105987437 -0.443215966850771803
-0.0351713470739793699 -0.579303629334472991
-0.21365968972578514 -0.730723000236285891
-0.0191553491373940392 -0.708536803585402497
0.232265730846999918 -0.640213533296321358
0.334076115860908462 -0.433361269418278239
0.503778763912004157 -0.322180770740917999
0.710306359249934904 -0.0757110183483790805
0.589137153287516036 0.105887983665537783
0.376932456093719392 0.500092575655710858
0.303662486436242551 0.732325194107754207
-0.11577136693977351 0.732786801559094259
-0.268872408510363425 0.472929612335501792
-0.621432872212348442 0.179496654574041847
-0.499028722639295763 -0.0460765939900202454
-0.39081245082551852 -0.261285740887272411
-0.500415611132677296 -0.306875085289650573
-0.676058616515473609 -0.0915683536031097201
-0.739394083312447825 0.343366686055134318
-0.434796998426337289 0.61109877624297948
-0.222991186144927633 0.827324550126883329
0.144315301558760434 0.844919684688505646
0.309606043204469439 0.79410438796309446
0.521483999927333519 0.652657298089183158
0.60462314947683371 0.350838039466629836
0.729722583997111984 0.183840677333434316
0.881287489971383731 0.0492468906898210212
0.732437782903099133 -0.267055312244513288
0.569077780478930095 -0.532107007526275488
0.453267825816262515 -0.446091851681108542
0.346152492589123228 -0.723518977921642881
0.0354174192135464985 -0.834589583171255756
-0.23327945149758722 -0.80919159047087108
-0.43663053944703023 -0.709714454705183462
-0.231910103804159662 -0.52175314503868242
0.0619273666084603075 -0.39793515511632771
0.0849389659301111044 -0.0252920371155740606
0.0951018196059531251 0.287677131042794909
0.040693390237633062 0.653014066510374636
-0.139540545002996952 0.25715915380750265
-0.206354385281853847 -0.0407516517386351945
-0.0235333376656893037 0.255503454037433686
-0.0602688103265242303 0.0290011303526808983
-0.0970042829873591639 -0.197501193332071889
-0.102696881788194264 -0.271856504404850652
-0.334114115043554316 -0.462843111813585728
-0.527650759375802636 -0.680128221405316369