Here is my experience with PSE and gas mileage.
First. Here's what I did to eliminate as many variables that I could, like traffic, hills, wind, variations in speed etc. Having already driven 60 miles, the engine was completely warmed up.
I was on the 401 between London and Detroit, which is a straight 4 lane highway similar to US Interstates. That part of Ontario is almost like a pool table, very flat except for an occasional overpass. Traffic is very light on this 120 mile stretch, so I was able to maintain a constant speed. I know it sounds like a boring drive - and it is, which is why I decided to conduct this experiment, for something to do while on route to Ohio.
I held the car at a constant speed of 125 kph (78 mph)
Temperature in the morning was 6 C (43 F) and climbed to 10 C (50 F) by the end of this stretch.
We were driving into about a 15 - 20 mph headwind.
I decided to drive four 20 mile stretches, two with PSE on, two with PSE off. (I did not engage Sport Plus mode, as that would add another variable.) I would switch PSE off, then reset the trip computer. After a few miles, each time, it settled to a constant consumption readout which I recorded at the end of 20 miles. Then I would turn PSE on, reset the trip computer and again take a reading after 20 miles.
So, the results for each of the 20 mile segments:
1 PSE off: 9.0 liters/100 km (26.1 mpg)
2 PSE on: 8.7 liters/100 km (27.1 mpg)
3 PSE off: 9.0 liters/100 km (26.1 mpg)
4 PSE on: 8.7 liters/100 km (27.1 mpg)
So, the correct answer appears to be:
A PSE on gives better gas mileage. So not only do you get a better sound, but you save money as well.
There is of course one caveat. When you have that PSE switched on (which I always do), you just constantly want to be conducting that orchestra with a little more vim and vigour. Who wants to listen to the Symphony in Flat Six in a monotone anyway.
Just as an aside, once we crossed over into Detroit and started heading south on I-75, with heavy traffic and speeds closer to 65 - 70 mph and no longer driving into a headwind, gas mileage climbed to 29 mpg.