I swapped the stock rollers on the stock variator to 13.5 gram sliders couple of years ago, during the past 15 000 km my fuel consumption was a steady 2.9 l/100km. I recently changed to 14 gram sliders and my fuel consumption has dropped during the past 1000 km to 2.5l/100km.
So it does affect fuel consumption and I was amazed by the quite large percentual difference even though I only went up 0.5 grams .