When the nRF is connected as a peripheral and no data is transferred either direction except the empty packet every connection interval, does the power consumption increase when the empty packet is frequently not received on the nRF but received enough to prevent supervision timeout? Does the softdevice increase the receive window when it doesn't receive anything during the previous connection window?
Yes, it will. In the Bluetooth spec this is called window widening.
Snippet from BLUETOOTH CORE SPECIFICATION Version 5.2 | Vol 6, Part B page 2930: