In the "old" days, higher octane meant higher density gasoline due to higher reformate content, but in the new world, higher octane is sometimes achieved by addition of oxygenates which are not only less dense, but have less energy per unit of mass. On balance, unless the octane is so low that the knock sensor is retarding the engine timing, I am not sure that the answer to this question will ever be clear. One thing that is certain, if you use gasoline with ethanol added, as is common in the midwest, you are very likely to get lower mileage with higher octane gasoline.