They say use full loads when washing clothes to save on water, but I wonder how true this is using an HE washing machine?

Considering water amount, but also electricity, wear & tear on the machine, and your time, doing full or near full loads with your washing machine, is absolutely the most economical & efficient way to launder your clothes, whether it's an "HE" machine or not.

Our 'HE' front loader will use about 15-20% more water if I stuff the bed comforter in the tub, than if there were 2 T-shirts in there, still runs 43 minutes.

Most HE machines use so little water that you can use the same amount of energy-water with daily small loads. Especially if you use the 'lightly soiled' setting and skip extra rinses.