Net energy consumption won't be affected very much if some radiators have some air in them. But if you look at the efficiency of the system's ability to heat the house, and to heat each room appropriately and quickly, THAT efficiency is reduced significantly if parts of the system are essentially disabled by being full of air.
In a ideal system each radiator is sized so that it provides the right amount of heat to the room it is in, each room has a suitably sized radiator (accounting for the particulars of the room eg north/south facing, windows, etc) and the boiler is sized to provide the correct amount of heat flow to all the radiators. If there are zones, the boiler is capable of working efficiently with any zone or multiple zones.
There are not a lot of ideal systems. There are lots of things that can throw the ideal out of whack. Someone can open a window. A room with large windows could have the curtains left open in the sun. The occupant of a room could turn the radiator off, or there could be thermostatic valves on radiators that turn them off automatically.
If one radiator is partly or totally full of air, that's no different to the radiator being partly or totally turned off at the valve by a user or by a thermostatic valve. It does not make the entire system more efficient or less efficient. Except at heating the particular room it's in ... it's less efficient at that, because its capacity is reduced by up to 100%.
If ALL the radiators have a little air in them, the entire system has less capacity to emit heat, so it will heat the house more slowly. That isn't necessarily more or less efficient from an energy-consumption perspective but it's certainly less efficient in heating the house quickly. On a very cold day it may not be able to keep up.
If ALL of the radiators have so much air in them that the house just can't be heated, then the boiler will cycle rapidly and may have trouble finding a stable temperature. The problems with that are bigger than efficiency.