Oooh didn't think about winter fuel.. I wouldn;t think that would make that huge of a difference, but on a new engine it would make it seem worse.. Fuel quality in general may even be contributing.... Gas and diesel both have not been quite up to par lately due to the surplus....
Give it some more running.. Bearings gotta wear in, even with the compression where it is the rings are probably not properly worn in and causing some drag.. Like Vince said it could take up to 20K miles for it to hit it's prime..
a TD will never ever get the mileage like a N/A will.
Disconnect the hose to your LDA and you probably will get better mileage... A few PSI of boost to burn the "leftover" diesel but no extra fuel and your mileage will probably go up.