If there's no load on the alternator then it will coast, the only losses will be parasitic - bearing friction, fan losses, belt loss etc as stated above.
Typical alternator output might be 60 to 100 amps, at 13.2 volts (typical system voltage) this is around 1000w - you'd need quite a few high load items running to demand this, say HRW, lights, heated seats etc. but that's certainly a feasible demand that might be put on the alternator.
So we're calling for about equivalent 1.3 horsepower electrical output from alternator.
Not much vs 115 hp output for a 2.0 litre engine?
But...there's some inefficiency so to produce 1.3 hp of electricity you need more like 2hp at the alternator shaft (ie from the engine).
Still not much?
Well unless you're driving everywhere at max throttle and power output you're probably typically asking the engine for say 60 hp or less (my 39 hp Hillman Imp would still clear 75 mph - when it wasn't overheating...).
So if you're using a lot of load on the alternator you could be looking at utilising 2/60 hp on electrical loads - say about 3% - that's a significant effect on your fuel consumption.
So on very rough and ready figures, in real life driving IMHO electrical loading can have a significant effect on engine load, ie fuel consumption.