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If your conservatory was a typical brick and block extension, it would require regular and significant heating. If the size is 4m by 4m then a rule of thumb would be around 2.5kW - not much different to what you sometimes input into your conservatory.
Regardless of claims about U Values, conservatories leak heat everywhere. This will not change if you alter the glazing - it might make life a little more pleasant, but at significant expense with installing the new conservatory.
The sensible, financial and sustainable answer is to keep with what you have.
If you want a warm, useable and economical to heat room do not build in glass. So any "upgrade" would be spent more wisely on a sun room or a garden room.
You have a similar summary to my thoughts, apart from the sun room / garden room concept. Perhaps if we were in the south, or if it were a south facing room, but not when our only space to extend was east facing, half hidden to the south by the neighbour's house.