I tried the WIMP app and it has a lot less battery drain (>50% less).
Fiddling around with PowerTutor2 it became clear that it is mainly due to the fact, that Wifi is used to download a whole song and then paused (relying on the built in android media server also seems to be battery friendly). I guess with the squeezebox protocol that is not possible? (because of the synchronization feature?)
It's not just about synchronization. The Squeezebox protocol (SlimProto) is designed for use with relatively low powered hardware players that usually do not have a lot of on-board storage, thus downloading before playback is not really an option. It also needs to allow streaming from a variety of different sources most of which are unlikely (or in the case of internet radio, impossible) to support a download first scheme.
It is just simpler to use a single way of retrieving music from the server instead of supporting multiple methods depending on the source, which once again is probably dictated by the use of hardware players without a lot of on-board processing power.
SB Player has an input buffer of about 3MB (the size is chosen to match that of the Boom). If you're streaming lossy formats like mp3 or aac from a source that's not bandwidth limited, the song will probably finish downloading well before it finishes playing. That may actually be what you're seeing with the WiMP player, but that player may use a larger buffer so the song will finish downloading sooner.
Also if you're comparing streaming WiMP through the Squeezebox system, versus they're own player, it's probably not a fair comparison since they could be limiting the bandwidth of streams to third party players.