What the DOE says is widely known, but incorrect. Don has explained the problem correctly. Thermal mass and insulation determine the thermal time constant, which affects how much saving results. But has no effect on whether there is a savings.
As Pete C. points out there are some heating systems that change efficiency depending on the demand. Heat pumps are one case. Another case is modulating furnaces. These will be less efficient at higher loads. But the common furnace located in a non heated area, will be somewhat more efficient as the furnace will run for a longer time before shutting off and loosing heat to the unheated area.
Dan
Hot water reset systems also operate at higher efficiency if the demand is lower, since the water temperature is reduced, resulting in a greater delta t in the boiler and more efficient heat transfer. With the right insulation and very limited air changes a steady state high efficiency heating plant without a setback might be more efficient. But very few residential systems operate like that.