Yes and no.
Power usage per core actually came down for 7995 (7995wx is 3.65 (350/96) vs 5995wx 4.38 (280/64)). Depending on how these are being used that may actually save on cooling (and maybe power if TDP and power draw are close). In a cloud VM environment for example, 2 7995wx's would be the same as running 3 5995wx's (700 watts vs 840 watts of TDP).
This however isn't true for the rest of the lineup. The 5975 and the 7975 have the same core count with a higher TDP for. It does seem as if the performance gains do largely come from clock ramp and core expansion.