There some truth that more velocity can reduce penetratio.
Barns did a test with ballistics gel at 100 yards. One block was shot with a 30-06 and the other block with a 300 RUM, both shooting 180 grain TSX. They set chronograph behind the blocks to record exit velocity. The 300 RUM exited with 49 FPS, the 30-06 extra with 247 FPS. Obviously the 30-06 would have penetrated deeper. The wound channel from the 300 RUM was larger

Clair Reese wrote the twst from in an article