Another good one!
For anyone interested in the physiology of how our bodies transport lipids, if you're able to listen to podcasts I very much recommend Dr. Peter Attia's 5-part conversation with Dt. Tom Dayspring (AKA Dr Lipid). The first one is here https://peterattiamd.com/tomdayspring1/ - they follow successively from there.
I don't recall whether he gets into lipid absorption and primary transport to the liver (chylomicrons).
That mentioned, I have to wonder if the protective effect of dairy is in milk solids or in the particular fatty acids involved. Given that low-fat dairy also shows protective effect, I would guess it to be at least partially in the solids. The obvious 'natural experiment' might be with South Asians as ghee makes up a good part of their dairy caloric intake - but there are almost certainly confounding genetic factors (notably the 'skinny-fat' phenotype being more common). Just thinking 'aloud' here...
Also: I've been making granola for at least a decade with coconut oil. Rethinking that now...
And finally, 'red' (unrefined) palm oil is a good source of one form of vitamin E (tocotrienols). I'd expect it to *not* be in ultra-processed foods as that palm oil is highly refined and used for price and shelf stability, but in diets heavy in the unrefined oil (West Africa, mostly).