No big difference in energy saving in Light and Deep sleep?

Yes.

I’d forget any Blynk connection from your ESP device. Outgoing data is sent as you described.
Incoming data is always going to be a problem when the ESPis offline (sleeping). You can pick-up the values as MQTT messages when the ESP comes online if you set their retainer flag to True.

To be honest, it’s not difficult to use Node-Red to translate Blynk commands into into MQTT then have your ESP process them. You’ll have most of the code setup already, it’s just a case of reconfiguring the code a little.

There’s a bit more here…

Pete.