Here’s a very small (14 women), short-duration (2 weeks) study that was funded by several international dairy groups.

Diets With High-Fat Cheese, High-Fat Meat, Or Carbohydrate On Cardiovascular Risk Markers In Overweight Postmenopausal Women: A Randomized Crossover Trial, American Journal of Clinical Nutrition, September 2015

Conclusions: Diets with cheese and meat as primary sources of SFAs [saturated fatty acids] cause higher HDL cholesterol and apo A-I and, therefore, appear to be less atherogenic than is a low-fat, high-carbohydrate diet.

Sponsors:

Supported 50% by the Danish Dairy Research Foundation and the Danish Agriculture and Food Council (Denmark) and 50% by the Dairy Research Institute (United States), the Dairy Farmers of Canada (Canada), the Centre National Interprofessionel de l’Economie Laitière [Dairy] (France), Dairy Australia (Australia), and the Nederlandse Zuivel [Dairy] Organisatie (Netherlands).

Higher HDL is not always an indication of better health. For instance, in an inflammatory environment (often when someone is overweight), when C-reactive protein (CRP) is high, a higher HDL can increase risk for heart attack:

Cholesteryl Ester Transfer Protein Polymorphism (TaqIB) Associates With Risk in Postinfarction Patients With High C-Reactive Protein and High-Density Lipoprotein Cholesterol Levels, Atherosclerosis, Thrombosis, and Vascular Biology, May 2010

More “Good” Cholesterol Is Not Always Good For Your Health; HDL Cholesterol Can Transform From Good To Bad Actor In Heart Disease Process, University of Rochester Medical Center Press Release, May 2010

This dairy study was too small, too short-lived, and lacked the kind of data collection that could help establish cause, that is, whether eating a “high-fat cheese (96-120g)” diet or a “high-fat processed and unprocessed meat” diet protects against the development of atherosclerosis, or, more to the point, protects against a heart attack. It would be telling to follow these women for, say, 10 years on these high-fat cheese diets to see how protective they were.