I've not heard that, IMO adding oil (sunflower, linseed, soya etc) is good for adding extra calories without the sugar of some feeds, so good for weight gain and coat shine but does not heat the horse up or cause a problem for a potentially laminitic horse.
sunflower oil is inflammatory to the system, you would be better with olive , linseed or coconut oils . All will add some energy . We use linseed and the coat condition is brilliant /
I used to use sunflower oil but as maree says it is an inflammatory so I switched to olive oil. It is good for slow release energy such as endurance but if you are feeding a lot of oil (so more than a splash) you'll need to supplement vit E