Do the Properties of Oils Change if They're Cooked?
Usually this is said specifically about extra virgin olive oil. The reasoning is that extra virgin oil is pressed cold and processed without heating in order to preserve specific flavor profiles in the finished product. Cheaper oils are extracted using heat to maximize extraction, but lose some of these flavors.  Generally heating is discouraged because you're paying a premium for unheated oil, so using it in hot applications would defeat the purpose.