When you switched lubricants you really didn't change from a 30 weight (5w-30 to 5w-20) to a 20 weight as the Motorcraft 5w-20 synthetic blend lubricant is actually very close (viscometrically speaking in terms of centistoke ratings) to a 30 weight.
It's viscosity will show in an oil analysis as a 30 weight within 2,500 miles usually.
Some labs analyses will bear this out under unused "virgin" samples checked as a baseline lube for fleet analyses.
It's main advantage over the previous lubricant is its' oxidation additive package which is roughly 200% stronger than the Mobil 1.
Ford's Mike Riley led the charge to specify this increase in oxidation protection. My last examination of the product showed it contained a blend of group II and group III basestock.......not the usual PAO basestock technology utilized in the Mobil 1 formulas.
Given the statements you made and excluding an oxygen sensor about to go bad I would say that the basestock technology is the main cause of your mileage decrease.
It is physically impossible to have less fluid friction when switching to a PAO basestock formulated product from group II and group III basestock technology.
The exact opposite is true as in your case.
Oil is Oil.................
Synthetic is Synthetic ....