When returning the side boosters of the latest Falcon Heavy launch to their landing site, their trajectories keep them right next to each other, and I noticed that a "wall" of vapor is visible midway between them. This made me wonder whether flying two boosters near each other has any performance effects in terms of fuel savings or waste. Does anyone know?
There is likely minimal effect.
At rocket speeds, there is very little effect of shear stress, the only significant effect is particles hitting the leading surface of the rocket.
Also due to how fast hey are going, the effect of the rocket of "pushing air out of the way" does not have time to get far ahead of the rocket, and this drops further behind as you move radially away from the rocket.
In fact the 'wall' in your question is the boundary of this region of influence.
As the leading bit of neither rocket is inside the volume effected by the other, neither is significantly effected (at least in terms of net force, vibration/temperature etc is a different game as these don't just effect the leading bits).
If the boosters were closer together, like at separation, there is a complex interplay of shockwaves that produces lots of turbulence. If the vehicles stay in each other’s turbulence, it will need to be corrected for by the guidance system, probably using up more RCS fuel. These boosters are far enough apart during descent that they are outside of each other’s shockwave.
The Falcon Heavy boosters are detached from the core with a pneumatic ejection system in order to have them out of the way quickly.