There's a great deal of conflicting evidence on the health benefits of one oil/fat source over another. Aside from eating a bare minimum of essential fatty acids, and avoiding large quantities of total fats, there's no practical benefits to changing dietary fats or to taking oil supplements. Ignition or smoke point is something you should pay attention to in all cooking as it increases the rate of oxidation/rancidification and production of carcinogenic byproducts like acrylamide. The theory that MCTs you ingest aren't stored as fat is nonsense. The body doesn't examine what fats it's absorbing and sort if it's going to digest or store them. All fatty acid chains consumed are broken into triglycerides and transported to cells. Cells produce all stored fats de novo based on hormone levels of insulin, leptin, and growth hormone which are released in response to blood glucose. The theory that saturated fats increase plaque formation leading to cardiovascular disease has also not panned out. There's even some evidence that high omega-3 consumption out of proportion to omega-6 consumption increases health risks. Many other factors such as genetics and activity level effect total cholesterol and hdl/ldl ratio much more than which fats you consume though total dietary fat is proportional. Even the relationship between cholesterol level and plaque formation is only clear at extremely high values or when other risk factors are present like obesity, hypertension, diabetes, and limited cardiovascular exercise.
There are some interesting studies on total fat replacements between conventional saturated and monounsaturated fats compared to highly processed polyunsaturated oils and all cause mortality. The working theory is that they're more susceptible to oxidation chain reactions and that oxidative stress increases the degradation of lipid layers in cell membranes which is a similar mechanism to the dangers of oil degradation while cooking I mentioned before.
The only part of what Naoe talked about that's correct is that some vitamins are fat soluble, and when taking prescribed supplements or medication for documented medical conditions, taking them with fats, water, alkaline liquids like milk, or acidic drinks like fruit juice or soda can affect their absorption.