The density information is correct, but this should not lead to improved fuel economy, and in fact the opposite is true.
The efficiency and power at full throttle (WOT)ARE improved, but WOT operation is only a tiny fraction of a normal driving cycle.
When throttled back for normal driving, the increased air density requires the throttle to be closed farther, which increases pumping losses, and in a spark ignition engine these are quite significant, especially if the vehicle has a large (for weight) displacement engine.
The increased air density also increases aerodynamic losses in proportion to the density.
The cold also reduces tire pressure, which can adversely impact fuel economy if not maintained seasonally.
Next, the engine may be idled to warm the interior and defrost windows, where 0mpg is achieved. Even if not idled, the engine spends more time warming to operating temperature, and operating at richer-than-normal mixture, which reduces fuel economy. The cold intake charge may lead to poor vaporization even after the engine has warmed, which may impact fuel economy.
Cold lube throughout the drive-train also adds viscous drag.
Lastly, as mentioned, winter blend fuel has more light fractions, and may contain oxygenating additives (MTBE or ethanol) to reduce emissions which lower energy content, and reduce economy.
Motorcyclists with fuel injected bikes often notice improved fuel economy at high altitude. The relatively large displacement engines, poor aerodynamics, and high speeds tend to showcase the economic effect of reduced air density.