How does range affect Xbee's power consumption?
Generally speaking, the power consumption is fixed and does NOT vary on the fly based on the distance between the transmitter and receiver.

The power consumption of an Xbee module only depends on static values, such as user-configuration of transmission power (in dBm), and the model (e.g., Pro versus Standard versions of Xbee are available). In other words, once the transmission power is defined, it doesn't change in the field based on how far away a transmitter and receiver are, nor based on the RSSI.

There is, however, one minor footnote to this: Note that Xbee units are programmed to make transmission re-tries for cases where the checksum is not passed, or an acknowledgment is not received, or where it does not find the receiver. It could be argued that increased transmitter-receiver distance might slightly increase the overall number of re-tries and thus the time spent transmitting, and in turn slightly increase the total current consumed for transmission over a long given period of time.

Finally, if you would like a reference on standard range testing, here is Digi's related app-note.