Well, I know for a fact that when I set mine at 10mW at home, and when I go to my living room, I lose connection to my wifi router which is in my room.

But if I set it to 100mW, I can keep the connection alive and browse from the exact same spot. So it definitely does make a difference in terms of wifi coverage. So I can only guess it will also make a bit of difference in power usage if wifi is used heavily.