There's no difference in attenuation between thick and thin mashes. Resident brew science guru Kaiser
did the tests a while ago.
Based on what I have observed, I would agree with Kaiser's conclusions within the limits that he tested.
Going outside those limits however, I think that there can be a considerable difference. I usually brew British Ales, and they are traditionally mashed at 1 qt / lb (outside of Kaiser's parameters).
I've tried 1 qt per lb, and mashing at 150 - 152. Results were excellent.
I tried the same recipes at 1.25 qt / lb. This resulted in a very thin tasting beer (by British standards) with greater attenuation. Sorry, but I have lost the records, and I can't remember what the attenuation difference was.
I tried mashing at 156F and 1.25 qts / lb, and the attenuation reduced, but there were severe off flavors. Again the records have been lost.
In support of this, I quote Greg Noonan New Brewing Lager Beer (page 140 in my copy)
"Mash thickness also affects the fermentability of the wort. A thick mash (less than three-tenths of a gallon of water per pound of malt), induces the greatest overall extraction. A much thinner mash increases the proportion of maltose, and thus wort attenuation."
and Ray Daniels Designing Great Beers Page 15 in my copy, table 3.1
"158F mash of 2 row malt, Flavor notes O3"
were O indicates off flavors, and 3 indicates strong to overwhelming
-a.