Best high energy/high protein feed with least bulk/weight

You should start with whomever you buy your alfalfa cubes from. Are you buying them locally or are they being trucked up to you by the pallet? If you have a "local" feed store, who are they buying from? Get their name and # and call them up (even the smallest mills typically have a nutritionist). Explain your situation and see what they can come up with. I'm sure your dilemma is not unique up there. Throw out extruded as it's a more sophisticated milling process and stick with pelleted. Only the largest mills can make extruded feed. Pellets will also be cheaper. The pellets can range from rabbit chow size up to horse cookie size. The larger they can be made, the less waste you will have because less is left on the ground. If you think better metric, you want a pellet with a diameter of 15-20mm.

Let's just say you feed 3/4 alfalfa cubes and 1/4 oats.
If you fed 300# alfalfa cubes, that would provide 300Mcals. (1# of alfalfa has approximately 1000kcal or 1 Mcal).
100# of oats would provide 130Mcals. (1# of oats has approximately 1.3Mcals).
300# of alfalfa cubes + 100# oats will provide 430 Mcals.
A typical Senior feed has about 1.5 Mcals/#. To get those same 430Mcals, you would need to feed 287# of senior.
From a transportation stance, that's a savings of 123#. Now that's not the whole picture as I would not totally eliminate the cubes from the diet as you want some type of long stem forage for them to chew on and help with digestion but you can see where I'm going.

Can the mill that makes the cubes add oil to the binding agent? Adding 5% oil will increase the caloric value to 1.15Mcal/#. It's not going to increase the volume you transport but now you've managed to add a few more calories. A small mill is not going to want to lose your business and if you're talking 10+T of product it's so worth their while to work with you. What's a batch size for them? That will probably be what they want to make in a run.

If you are buying in bulk it might be worth talking directly to one of the bigger companies and see if you can cut out the middle man and buy direct
One of the benefits of buying a complete pelleted feed is that its all balanced and you don't have to worry about the risks of feeding too much of one thing causing issues if its not proportional to something else you're feeding
Another thought - Sugar beet shreds don't weigh much and they are a good source of safe energy, calcium and good for keeping weight on. You could add rice bran to that for some extra oils and either some chop to slow them down when they eat or some haystretcher pellets and maybe some oats to anything that needs a bit extra pop

Some mills might also call the range cube cattle cake. Don't mince words about what you need and let them talk you into feeding the cubes that are milled for cattle. A horse can't digest the main protein source, cottonseed meal, they are often medicated and they are too high in protein.

Back to your original quest, you really don't need to up the protein if you are feeding either alfalfa cubes or a complete feed that is alfalfa based. You are feeding around 10% protein and a mature, working horse only require around 8%.

Purina Amplify is a supplement not a feed but maybe it can be added in??? It consist of.............

CRUDE PROTEIN MIN 14.00 %
CRUDE FAT MAX 30.00 %
CRUDE FIBER MIN 5.00 %
CALCIUM (CA) MIN 2.00 %
CALCIUM (CA) MAX 2.10 %
PHOSPHORUS MIN 0.60 %
COPPER (CU) MIN 55 PPM
SELENIUM (SE) MIN 1.40 PPM
ZINC (ZN) MIN 225 PPM
VITAMIN A MIN 16000 IU/LB
VITAMIN E MIN 150 IU/LB

I think the oil is still your best bet.
2 1/2 gallons would be enough for all the horses for one day versus a pelleted feed or something that if you're feeding around 2 cups (which is half the recommended daily for most of them) that's 44 cups a day which is over 3 gallons and you're getting fewer calories. Go with the full recommended daily 4 cups and then you're at over 6 gallons per day. As opposed to feeding 2/5 of a cup of oil to each horse a day and that's only 2.5 gallons per day. And if they only need 1/4 of a cup per day, the one jug will last you almost 2 days.

I agree, if you can do oil it is 100% fat! Total bang for your buck and weight! They sell oil in beads, cool calories but its more expensive than oil.

How do you dump oil on the ground and have the horses consume it? How do you transport 100s of gallons of liquid oil 1000 miles probably the last 25 by horses? You are missing the whole point here.

Heheheheh, that is what I was thinking. Same with the cool calories. I think they would avoid eating it if they could. At least oil you can put on hay or alfalfa and it will soak in and they will eat it. Hummmmmmmm, did you look at the amplify? That is the highest fat supplement that I have found.

My point is the volume of a pelleted feed is going to be higher and you're doing the same thing with it. She wants a non bulky source of calories. Oil is the best bang for your buck as far as calories to weight/volume ratio.
How do YOU expect to get hundreds of bags of $40 a bag horse feed there?
As far as consumption there's this thing called mixing which is time consuming BUT with the volume of oats (an ice cream pail full) dump oats and then swig some oil on and you're good. There's enough oats that most of the oil will coat the oats before touching the ground.
Holy miss snark, sorry for the logic.
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Ok I don't have time to read all of this properly right now but I will later tonight

All of this would apply even if we are not feeding alfalfa cubes too, correct?

We only feed alfalfa cubes on late season hunts (late September and October), generally the horses just get oats for the majority of the season.

Thanks so much everyone, there looks to be some very good information here!