One of the fundamental changes made when emissions came along, was to increase engine operating temperature. Increased temperature means increased heat loss, and since heat is energy, this translates to increased fuel consumption.
With diesels, its the other way around. Hotter combustion temperatures make for clean, efficient combustion with very little soot formed. But at high temperatures, more oxygen reacts with the 75% nitrogen in the air we (and our engines) breathe, and forms nitrous oxides, which makes plants grow harder so it is a regulated pollutant.
You can decrease NoX emissions by injecting late. Result was the Deere 20 series tractors being smokey, lazy and thirsty, making lots of customers go to Fendt.
You can also, like Deere did in the 30 series, use cooled EGR. This way the air volume in the cylinder absorbs some heat, but doesnt add oxygen to the fire so it doesnt burn as hot, yet still somewhat efficient.
Drawback is that the exhaust gas is cooled to the coolant, which means you need a 50% bigger radiator.
For a wheel loader with Tier 2 Cummins, or a later Tier 3B with 40% EGR, this means doubling the amount of kilojoules of heat rejection.
All manufacturers are now doing away with EGR to compete on consumption again. Many can do without DPF too, only with DEF which is outside the combustion chamber, so the combustion process can be tuned for max efficiency.
So yes, 10 to 20 years ago engines got thirsty because of emissions. Nowadays the dust had settled and manufacturers throw away the old emission solutions to compete on overall engine efficiency, which leads to more efficient engines than before emissions.
I am not sure how many actual miles per gallon this cost, but it was enough for every car manufacturer to start covering their engines in plastic cowlings. The same ignorant people who think emissions are 100% responsible for their reduced mpg, are the same idiots usually claiming all that extra money spent on plastic is "just for looks".
The plastic is sound deadening, engines have become so quiet that valvetrain noise has become noticeable

And on diesels it dampens the diesel knock.on my previous S70 2.5TDI i could definately hear an increase in noise without the plastic cover on.