Or is the packaging just different?
What they said. Plus:
"Power used' is very largely a matter of the circuit parameters rather than the components themselves. Something like a resistor will use exactly the same power for a given task regardless of it's packaging as the designer has complete control over power dissipation. Differences that do occur are liable to be due to secondary effects.
1) More modern ICs for switch mode power supplies, operating at higher frequencies with potentially improved efficiency may be available only in SM packages, so their "lower power' may not be available in an older package. This is thus a factor of availability rather than inherent difference due to package.
2) A MOSFET may operate more efficiently at lower junction temperature due to eg increasing Rdson with temperature. Identical die with different packaging will then produce different results based on thermal resistance from Junction to air. This is made up of Rth_junction_case + Rth_case_sink + Rth_sink_air. Depending on implementation and power level (not to mention phase of the moon) the result may go either way. At high power levels a larger through hole case may have a higher Rth_junction_case, but have better access to gross ambient heat sinking. At power levels below 1 Watt the ease of access to PCB thermal sinking for SM part may encourage a lower temperature design so higher efficiency so lower power overall.
As others have noted, 3rd order effects such as lead lengths, perhaps reduced capacitance and similar will have some effect, but usually minimal
Summary: Overall neither SM or through hole have an explicit power difference BUT factors specific to each implementation may make a difference either way on a case by case basis.
Generally no difference between the same part in different packages, the more important difference is that 'better' parts tend to only be available in SMD as that is where the market for efficient parts has gone. For example high-efficiency DC-DC converters often operate in the MHz range, which isn't practical in TH due to lead inductance.