If you're leaving the 3rd one without a bulb, I don't know but there might be energy escaping through that open end.
If you have a dead bulb in the 3rd socket, it makes the other 2 bulbs work harder, don't know if that would matter though.

Some power companies will have a person come out and do an 'energy audit' for free. they hold a thermometer under the hot running water to see how hot the water gets, hold a bic lighter around doors and windows to see if you're loosing energy there and stuff like that. You can call your power company and see if they offer that service.