At minimum, I would think that having a middle gear on the cassette to give your chain the straightest line would be the most efficient. If you’re constantly running the big ring and the smallest or largest gear on your cassette you also run a higher risk of dropping your chain and also losing some wattage due to drive train inefficiency because of your chain angle.
Having just got my Core a few weeks ago, I’ve been playing around with a different gear selection, as well, and I feel like it does matter. Even when I was on my old dumb trainer, doing 250w in my small ring as opposed to 250w in the big ring felt different, even when at fairly similar cadences. I think it may have to do with the gear ratio that you’re using, as well as all the technical stuff that Shane mentioned in his video.
If it “feels” different to you, there probably is a difference. So, pick the gear that feels right for you.