We were told this fact while my wife and I were in Thailand by some friends. Now we know why the curry paste we get from the Asian market says to fry the paste and coconut milk. We experimented with lowfat coconut milk and it's not quite there. Still tasty and a little lower on the calorie side, but not the same.
We enjoy that blog. Lots of good information there.
Edit: We use the same curry paste as she has linked in her post, Maesri. As far as I'm concerned, it's very high quality. Our Thai friends (that live here in CO) use that paste as well.