I can give you a good example of where the "heavy pellets are better" idea comes from....

Go to the HAM BC chart, scroll down to .22 cal, and type "jsb exact" in the box in the search box, upper right.... You are now looking only at a family of pellets of similar shape, all of the same diameter....

Now sort by weight (or SD), and look at the BCs.... you will find that the heaviest pellets have the higher BCs....

It is absolutely true that the lower wind drift is due to a higher BC, not a greater weight.... HOWEVER, that higher BC is due to the greater weight....

If you compare similar weights and shapes in different calibers, then in fact the smaller caliber (which has the higher SD) will usually have a better BC, and therefore less wind drift.... If you replace the word "weight" in the old adage with "SD", then it makes (almost) perfect sense.... and larger calibers TEND to have higher SDs because of the square-cube rule.... 2 times the diameter is 4 times the area but 8 times the weight.... which doubles the SD.... This means that larger calibers have an advantage in SD, and therefore a potential advantage in BC, if the shapes (FF) are similar....

Bob