When they say reduced power consumption, they're really talking about overhead. Let's say to supply 5W at 5V, they needed to take in 7W at 120V. This means that

When they say reduced power consumption, they're really talking about overhead. Let's say to supply 5W at 5V, they needed to take in 7W at 120V. This means that voltage step down process results in some power being wasted as heat. By using a switching regulator they waste less power and thus there's less heat output, but the power delivered to the device remains the same. So, in this example, they might only need to take in 6W at 120V to output 5W at 5V. (Note, the numbers are complete BS because I haven't done hardware in a while, but that should give you an idea.)