... Because if it's supposed to be energy saving, it just doesn't work that way on LCD screens, and there are not that many LED ones out there.
The LCD displays work by liquid crystal elements coloring and suppressing the backlight, but the backlight intensity (and therefore, power consumed) does not change just because the image got darker. There *might* *possibly* be a way to decrease its intensity in true full-screen mode, but it is definitely not the way it is implemented, as it dims the game screen even in borderless and windowed modes.
I don't have the power meter-equipped outlet right now, but I suspect that when I grab one to test in a couple weeks, it would show exactly zero power consumption difference on the monitor I play ESO on.