Sure !! The calorific value brought by sulfurised impurities is much less than that of alkanes for which fuels are used. Removing them is better for the environment, but also theoretically for the production of heat during burning. But as these are only impurities, the effect on calorific value is negligible.
No matter how one sees it, theoretically one would always loose out on the calorific value if based on the original weight but the difference would be too negligible. Howver, if one considers the mass of the upgraded material, then you can have the same calorific value but it depends on the methodology of the sulfur removal. For example, if one takes the oxidative route for the deep desulfurization, there would be a greater loss of the calorifica value..
Usually the concentration of sulfur compounds are much smaller than the concentration of hydrocarbons in a crude oil sample. Therefore desulfurization won't impart any significant change in the calorific value of fuels. The effect would be so negligible and the outcome is so beneficial for the environment that makes desulfurization an essential process during crude oil refining for production of clean fuels