You're correct in the thought process that the food is more nutrient-dense, so they don't need to eat as much of it. HOWEVER, because there aren't as many fillers, they may not feel as full. It's kind of hit or miss. I know with dogs when owners switch over to a more nutrient-dense food, they need to feed less than their previous food, so the dog thinks its starving. Cats are usually more meticulous eaters, though. If yours are usually pretty good self-regulators, then they're probably eating less because they don't need to eat more, not because they don't like it. Give it a little bit of time and see, but be careful if they AREN'T eating, though. Cats can develop whats called "Fatty liver" when they stop eating and it can be a life-threatening condition.

Unlike dogs, cats WILL starve themselves if they don't like a change or are stressed (any change - moving, new pets in the household, new food, etc) so this is important to remember and identify early. I'm not trying to be "Worse case scenario" here, but my sister lost her cat because of fatty liver (and she was not an overweight cat) and I want to make sure more people are aware of it and what causes it. This is what I was taught in school and echoed through vets I've worked with.