I experienced a loss of fuel economy shortly after the introduction to ULSD, too.

I had air leaks throughout the fuel system, return lines weeping, delivery valve seals, spin-on filter clogging twice. Mileage averaged about 18 - 20 mpg in the winter, and 24 mpg in the summer while my 350SD got its 3.0 liter transplant.

Replaced all the above and did an injection system purge. This winter, I'm averaging..........................about 27 mpg.