Some people would rather not tolerate relative humidity below a certain level, even if they "feel" warm enough, so "comfort zone" does not pertain to temperature alone. We agree that constantly replenishing water in the air generally requires greater energy than the slight increase in temperature that would make it "feel" just as warm, unless the humidity lost to air leaving the house can be made small. Sealed combustion eliminates one of these losses. It is my observation that sealed combustion can eliminate the need for supplemental humidification altogether.
That's food for thought, but I remain skeptical that infiltration induced by non-sealed furnace combustion will significantly decrease the overall exterior temperature of conventionally built exterior walls or make them perform like these Scandanavian walls of which you speak. If infiltration creates cold spots on the interior surface, they'll draw heat from the room.
It seems to me that even if unidirectional infiltration (i.e. enter through wall, exit through furnace exhaust stack) were to reduce the wall exterior surface temperature to outside temp so as to eliminate heat loss from that surface, it wouldn't eliminate heat loss to the outdoors altogether. The heat-losing surface has simply relocated to somewhere within the wall or the living space.
I could see how the R value for a well designed breathing wall would be unexpectedly high compared to a conventionally framed and fiberglassed wall, if one's expectations are based on looks alone.