Even if you do a used oil analysis on a WRX factory fill, it comes back as a 20 grade and I suspect they use an extremely thin 30 grade or even a 20 grade at the factory. I know in some countries, they newer n/a Foresters allow 5W-30. In many cases, a 5W-30 and 5W-20 are made from the same base stock. The 5W-30 is just loaded with more viscosity modifiers to thicken it up which is why a 5W-20 can actually be more stable than a 5W-30 and many 5W-30's will shear to a 20 anyway.
Yes, a 0W-20 is thinner in extreme cold and will give you better fuel economy before the car is fully warmed up. So you're getting something like .25% better fuel economy for the first 5 minutes of operation.
The cold cranking viscosity for a 0W is tested at -35C and a 5W is tested at -30C.
Of course, all 0W's aren't the same viscosity in sub-freezing temps you want one that is thinner on the MRV test at -40C. Looking through product data sheets is one way to find MRV.
Of course, it can be tricky trying to compare oil specs since some companies list CCS and others list MRV.
A viscosity graph can be helpful as well and you just enter the 40C and 100C Kinematic Viscosity. It's just less accurate below 0C but it gives you a good idea of actual viscosity.