Lower tread depth = fewer revs per mile = artificially increased mpg figure as the odometer turns slower, so the effect of the new tires is to increase the outer diameter by the increased tread depth, which means more revs per mile by a couple, and then until they are broken in they will not have reached their ideal rolling resistance until then.
However if you were to shave them back down to a lower tread depth it would only help in the dry, ruin wet and or snow traction, and cause you to need to replace tires even sooner.
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