I suspect that running at a higher clock speed can allow you to complete your operations more quickly and get back to sleeping sooner, which may result in a net savings.
That's the TI argument that I subscribe to. But it is based on the assumption that your (crystal) oscillator starts right away ("instant on", as TI would call it). Unfortunately, no one other than TI has cracked that in the '430 family. Energy Micro or the new chip from Freescale are catching up.
So in timing insensitive applications (where you can run RC oscillators), it is indeed to be beneficial to run at higher frequencies (within reason).