What does the winter rating have to do with it? Are you saying that Mobil 1 or Castrol 0W-40 have nothing to do with engine protection?
The fuel consumption tests are started at room temperature, aren't they? NEDC and WLTP are anyway. So a high viscosity index oil with the lowest possible HTHS would be beneficial. I would expect a 0W-20 to have a higher viscosity index than a 5W-20, a 0W-30 higher than 5W-30, a 0W-40 higher than 5W-40. So it's not really about the winter rating but the oil viscosity from 60°F up