The reason for electricity mains operating at a dangerously high voltage is that it reduces the current flowing through the wiring which therefore reduces voltage drops and wasted energy due to heat dissipation in the wiring.
IMHO the best way to maximise power efficiency is to use a decent quality switching power supply, either a wall wart or built in, which is correctly matched to the requirements of the equipment. I think manufacturers are getting better at this, for example my Virgin Media "Superhub" which is supplied with what appears to be a decent quality switching supply so both the hub and the wall wart are only slightly warm to the touch, certainly not hot.
I recall purchasing, something like 10 years ago, a small 5 port Ethernet switch which was supplied with the usual cheap wall wart with a simple transformer and rectifier inside. Both the switch and the wall wart ran uncomfortably hot with, I assume, a linear voltage regulator inside the switch which would have slowly roasted itself to death sometime after the warranty period expired. Not satisfied, I tried powering the switch with a laboratory supply which I adjusted to the minimum voltage required for the switch to operate reliably. Then I purchased from CPC a decent quality switch mode wall wart of the same voltage, which I think cost me several quid more than the switch did, and the switch has been running with no problems, just a little warm, ever since. Having used a plug in power meter on both wall warts I reckoned that the switch mode unit paid for itself in two years and the switch has lasted several times longer than I would have expected it to with he cheap over voltage supply. WIN-WIN!