The later 265bhp drivetrain really is more economical than the earlier one, in part due to engine changes but also due to the switch to the 7g+ gearbox. The difference is reflected in the lower CO2 emissions, and it's not a result of any measurement method change. Another benefit of the adoption of the 7g+ gearbox is that it eliminated the slight lag when pulling away from a stop that was present on the earlier cars.
I ran my 2011 265bhp E350CDI from new for 35,000 miles and kept full fuel consumption records. The average consumption - real, brim-to-brim - was 38mpg. Beware claimed mpg based on the car's trip computer: mine would routinely show around 10% lower consumption (i.e. a higher mpg) than the real brim-to-brim measure. Most of my driving was on fast A- and B-roads on my daily commute, but obviously over that distance it also included motorway and city driving so it's a realistic view of fuel consumption unless you have a high bias towards short city runs in stop/start traffic which in my experience carries a heavy consumption penalty.
If fuel economy is important then the 265bhp BlueEfficiency drivetrain (introduced on cars built from around April 2011) is the sweet spot until the very last cars with the 9g gearbox. Avoid the AdBlue "BlueTec" pre-facelift cars as they drink more diesel and have a lower power output.