yes, but that doesn't affect anything related to power.
power losses in the amp are dominated by the output stage and the speaker.
if the amp has +-40V rails, and is putting out 10V into a 4ohm load, there is 2.5A of current.
this is 10*2.5 = 25W from the speaker.
that means (40-10)*2.5 = 75W is dissipated in the amp's output stage.
the voltage gain really isn't an issue, as the typical voltage gain of an amplifier, in excess of 10,000 V/V, is typically too high and feedback is used to bring this down to something usable.
in the end the "amp works less" is a marketing gimmick. I think its best to avoid shopping anywhere that tells you something this dishonest.
for noise purposes, its may be better to have the gains set at a lower setting.