On the surface it appears that the SX basically takes more power than an equivilent PIC in the same application. However...
Because the SX is about 4 times faster than the PIC at the SAME clock frequency, you can run it at one forth the clock speed and get the same work done. Running at a slower speed DRASTICALLY reduces the power required. Now, on the other hand, virtual peripherals increase the amount of work the processor must do, but it depends on how many instructions it takes to implement the vp. A USART for example can be done in less than 20 instructions and at low baud rates, doesn't run all that often resulting in a negligible increase in power consumption. A USB vp might be a different story.
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Other factors include matching the clock to the settings in the SX so that it is driven reliably but at the lowest possible power consumption. SXs have a LOT more settings for clock type.
Some pic's do low voltage and some do not. All the SX's do. Since I looked at them, Microchip has come out with a new version of the 16C57 that DOES support down to 2.5 volts....
...BUT, It will not run at anything like normal speeds at 2.5 volts and will not run at full speed at 3.3v
Vdd Max Clock 3.0v 4 MHz 4.5v 20 MHz 2.5 40 kHz
That is 40 KILO Hertz at 2.5 volts.
I haven't checked, but I think you will find that most PICs are in the same boat.
Now, the SX28AC50 will do 32Mhz at 2.7v and 50Mhz at 3.0v AND because of the 4:1 pipeline that is the approximate equivelant of the PIC doing 128Mhz or 200Mhz.
So in the end, for most consumer applications, the SX can actually save you power.
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