Fan speed and power consumption
These fans use shaded pole motors which are a type of asynchronous motor. 

Speed can be controlled by varying winding current.

This isn't done with actual resistors, but by switching between several windings. The lowest speed setting corresponds to the longest length of wire in the windings, thus the highest resistance. Highest speed corresponds to lowest resistance (shortest winding). This can also be done by switches connecting windings in series, parallel, or a combination.



(source)

Also, more winding turns mean higher inductance, thus higer impedance, which reduces current without wasting power in winding resistance.

Since higher impedance results in lower current, the fan does not draw constant power from mains, and lower speeds do use less power.