But doesn't denser mean more energy? So with more energy per volume, a potential bigger bang with each revolution?
If so, can't the ECU just compensate and bring in more air when on ethanol free fuel for the same quantity of fuel?
(I have no idea, nor hold any expertise whatsoever on the matter).
No. The fuel's energy density is not the hard part. If there's less energy density in the fuel, it's still a liquid and it's easy to just inject more if more is needed. For example, pure alcohol engines (think IndyCar) can be really powerful even running methanol with considerably less energy density than gasoline. But I believe the big issue is going to at wide open throttle when it's trying to get in as much air as it can. If you can't get in enough oxygen to turn those hydrocarbons into CO2 and water vapor, that's going to be the limitation as to how much power can be extracted.
An internal combustion engine is just a big air pump. Injecting more or less fuel is easy. But getting in more oxygen into an engine gasping for breath is hard. There have been all sorts of things to improve the amount of air that can be pumped. Bigger intakes. Less restrictive exhausts. Multiple valves to improve airflow. Forced induction. Nitrous injection. As was stated, using oxygenated fuel is just giving it a little bit more oxygen when it can't really suck in any more.
But at normal cruising speeds or when commuting, the higher energy density is probably more desirable. But for performance driving, oxygenated fuel will be better. I believe there are other things about oxygenated fuel that helps with performance - something about more efficient cooling.