You don’t need to change the fuse bits unless if you are using an MCU that’s purchased separately elsewhere.

Regarding the power consumption: you need to discount the power loss on the switching regulator (about 75% efficiency regardless of the output/input voltage ratio) and the 5V->3.3V linear regulator (effectively 3.3/5 = 66% efficiency). For example, if the input voltage is 12V and current draw is 0.1A, the switching regulator will lose about 12 * 0.1 * 25% = 0.3 Watt, and the linear regulator will lose 12 * 0.1 * 75% * 34% = 0.31Watt. So about 0.61 Watt is wasted just on the voltage conversion.