I wasn't able to find a definitive answer to your question. Lego blocks are usually made of ABS plastic, not PET, so I though initially the company was doing a thermal breakdown to the hydrocarbon level, then reformulating it into ABS, which I could absolutely be a CO2/energy intensive process.

However this Lego company linked PDF suggests they're actually making blocks out of PET and not reformulating. This should be a significantly less CO2/energy intensive.

One other thing to consider is how Europeans are approaching "green" initiatives. European methods are generally hyperfocused on CO2 reduction as pollution largely ignoring other types of pollution. As an example, with automobile pollution diesel cars were incentives because they produced less CO2 than gasoline cars for similar distance/work. This ignored the NOX and particulate pollution from diesel which was far worse than gasoline. The statement Lego made here of "didn’t reduce carbon emissions” resonates with that idea.

Back to Lego, even if PET method was only CO2 neutral, using recycled PET could still be a good path to reduce PET plastic from going into landfills or being burned (producing other toxic pollution). However, if CO2 reduction is the only goal, then the program ending isn't surprising.