I too heard this. But also that it was not true.

I tested 10 different (make and type/weight) pellets in two sub 12ftlb air rifles. I found the data did not support that heavier weight pellets give higher ftlb, nor that Bisley Magnums (or any other make, type or weight of pellet) always gives the highest power. But, that was just two air rifles - MK4is and HW100.