microcontroller external clock power option (pic18f)
Looking at the "Section 28, Electrical Specification" portion of the PIC16F1933 datasheet (http://ww1.microchip.com/downloads/en/DeviceDoc/41364B.pdf), one can see that the PIC processor power supply current is dependent on the clock frequency.

That is, internal peripherals and the core are clocked faster with faster external clock, resulting in higher current drawn from the power pin(s).

In general, even with other oscillator options (internal HL, internal LF, crystal), higher clocking speed results in higher power dissipation.

Microchip prides itself on the XLP (Extra Low Power) Nanowatt technology, where the processor draws very little current to maximize battery life.  This is achieved with a number of tricks, one of which is the reduction of oscillator frequency.

This picture shows a portion of the datasheet (Idd current draw).  One can see that higher Fosc frequency results in higher current consumption.