Yes you are burning more than you used to. It's not because of any changes to HE, it is because of the AP/Armor change. Cruisers live longer now so you are getting hit by more HE shells than you would have done pre patch.
It's the same reason some people will not have had a drop in their average damage for BB's, even though they are doing less alpha damage. cruisers are alive longer so you have more things to shoot and hit for longer periods. Avarage damage for the ship/s might stay the same or similar but people need to use more shells to do that damage now.