Does turning a light on and off quickly use more or less power than keeping them on all the time?
Turning LEDs on/off will consume less power than keeping them on continuously.
e.g. using Pulse Width Modulation.

I am no aware of how exactly the hue light bulbs work, but strobbing will probably consume less power.
I guess the exception to this would be the case where the "commander" of the light bulbs sends commands all the time and thus resulting to a greater overall consumption. But I think this is quite unlikely.