Bolt ons increase efficiency. Why? Because you are getting more power without increasing the displacement of the engine.
A intake and exhaust allows the engine to breath better under WOT, which means more air and more fuel. But you still need to floor it to get that extra air. When not flooring it it doesn't consume any more air than it did before, it requires slightly less work to suck in a smaller amount of air, resulting in better mileage, as long as you're not flooring it.
Most stock tunes are pig rich to provide a margin of safety for reliability and liability. Flash tunning to lean it out a little results in more power, and less fuel consumed.
The added power and efficiency from bolt on's means you can achieve the same acceleration and speed with less pedal effort. If you make a 100 HP engine have 200 HP, then its going to make 100 HP at 50% of pedal position instead of 100%. Problem is once people feel that 200 HP they won't stay at 50%, they will continue to go 100% just like they did when it only had 100 HP.
People get addicted to that new found power, and prefer to exploit the power gains at WOT more than the efficiency gains with no WOT, so they won't ever see any MPG gains.