So, in regards to pumping in most cases in the US there is no practical difference between 0W and 5W.
But that doesn't mean the viscosity is equivalent through the entire warm-up range.
The viscosity at 100C should be the same. But the viscosity from 0-40C is going to be lower for 0W vs. 5W.
Do you think your motor oil goes from ambient to operating temperature in no time? No it takes 5-15min depending on many factors.
Also, 0W will often times have slightly lower HTHS. So, even at operating temperatures 0W should be more efficient.
The difference in efficiency at operating temp is probably negligible.
But the colder the climate means that the time the engine/oil stays at relatively cold temperatures longer.
So, there will be a real difference in efficiency, that you still might not notice, but its there.