Beyond any doubt, that is true. However, achieving direct contact of the quality necessary to improve upon a very thin layer of Arctic Silver or other decent compound is rather difficult. Probably beyond the capability of most modders. So unless you want to dedicate the time and effort to develop the skills and tools necessary to achieve it, do like the vast majority of us and use compound.
One thing the OP didn't mention is that the degree to which a layer is a thermal barrier is proportional to the thickness of the layer. It's also inversely proportional to the thermal conductivity and the surface area. The thermal resistance of a layer is equal to t/(K*A) where 't' is the thickness, 'K' is the thermal conductivity, and 'A' is the surface area.
Let's compare the thermal resistance of several layers. I'm going to use metric, since thermal conductivities are most commonly available as W/m-K. That's Watts per meter-Kelvin. A Kelvin is the same as a degree Celcius. I'll also use the abbreviation um for a micro-meter.
Layer 1 - a 0.001" (25.4 um) layer of 63/37 tin/lead solder, K = 50
Layer 2 - a typical layer of anodizing; let's be generous and say 15 um (typical is less), K = 1 (typically 0.5 - 1.5)
Layer 3 - a 0.001" thick layer of Arctic Silver, K = 7 (from memory - please correct me if this is wrong)
Layer 4 - a 1/16" thick layer of aluminum (typical 'star'), K = 200
Layer 5 - a 0.001" layer of air, K = 0.03
Layer 6 - a 0.0001" layer of air, K = 0.03
Thermal conductivities are all in W/m-K, to keep everything fair.
I'll use the area of the thermal pad of an XM-L2, 2.782 x 4.7 mm, since this is a pretty common point of interest. This is 13 x 10-6 m^2.
Layer 1 - 0.039 K/W
Layer 2 - 1.2 K/W
Layer 3 - 0.28 K/W
Layer 4 - 8.1 K/W
Layer 5 - 65 K/W
Layer 6 - 6.5 K/W
These are interesting numbers, because you can see that a 0.001" air gap dominates the calculations completely. And if you reduce the air gap to 0.0001", which is hard to do, you still don't even come close to where the 0.001" Artic Silver numbers are. You have to get much better than 0.0001 to beat decent compound.
Note in particular that a single layer of anodizing is less important than the aluminum star! So you would be better off eliminating the star than eliminating the anodizing. Also, the solder represents a trivial thermal resistance compared to other things. So before you go looking for exotic solders, there are other things you can do with much better returns.
Also VERY important is to think about surface area (the area through which the heat has to pass). All these calculations are done with the surface area of the thermal pad on the XM-L2. Once you get through the star and into the head/body, the surface area is much larger, so the thermal resistances are much smaller.