I leave our fan on year round....yes, the heat may kick on more, but that is the point, keep the entire house at one constant temperature vs. say the upper level hotter as heat rises.....for some, maybe this is a concern, for others, like myself, not a concern at all.
The fan does have 2 speeds...low for when idle and then ramps up when heat or cool is called for.....you can also change the speed of the fan with dip switches at idle or when calling for heat or cool.
Cannot comment on the stat and the furnace working better together as time passes......might be a newer technology, but most t-stats are "dumb" devices and not smart, but yours might be something totally different.