I'm not too well versed in this subject, so everything here is going to fairly theoretical, but the overall concepts should be sound.
The short answer is that some do (over and above the F-N-R transmissions most have). However, they are generally 2 speed deals that are there for one of two purposes - to slow the in gear idle speed of a high speed rig down to a level more comfortable for close quarters maneuvering, or to assist a heavy load on plane quicker, such as yanking a heavy skier out of the hole while the boat is loaded down. You don't want to put on a lower pitch prop, as you still need the top end for the skier, but it is tough to have to push water for a length of time before finally coming out of the hole.
But, as far as for fuel efficiency, you aren't going to gain much, as your gear ratio is determined by the prop. Think of a boat as a car going up a never ending hill, due to the higher resistance of the water at planing speeds. Up a steep hill, you aren't going to be upshifting to 4th or 5th, but instead climbing in 3rd, at a higher RPM. You try to go to 4th, and you lug the engine, and probably aren't saving any gas, while at the same time overburdening the engine.
Well, why the lack of 1st and 2nd, then? Back in the 1st paragraph, we have the practical uses for the lower gear, but in more common circumstances, the prop provides enough slip to get out of the hole. In a car, you can make 3rd gear starts if you slip the clutch long enough. In a boat, the prop slips, instead of the clutch, but the overall (very generalized) concept is similar.
As far as maximum fuel efficiency, that is done with prop selection. Generally, one would experiment and determine what prop is most efficient on a given boat at the optimal point in the power curve (provided fuel efficiency is the goal) or at WOT, if top speed is the ultimate goal.