I usually find that the body building realm is full of weird nutritional myths, but after some poking around, it seems that a lot of articles writing about it actually did say they were citing a "scientific study", without providing any links.
At last I've found this article from the British Medical Journal that seems to be what everybody's talking about:
increased daily frequency of eating was inversely and significantly associated with lower concentrations of total cholesterol and low density lipoprotein cholesterol. * BMJ
Note that this is an observational study (actually, tapping into the data of a cohort study on a completely different topic), and not an experiment. This is of course often the case with social studies, but I don't think there would've been ethical implications with arranging an experiment of this one. That way we could've been more certain about the conclusions.
Right now, all we know is that there's a correlation. It might very well be that frequent meals and the low cholestorol both are the effects of a common - unknown - cause, rather than the latter causing the former.
The evidence that does suggest that the study published in BMJ is actually a causal relationship, is that similar effects have been found in an experimental study on animals.
It should be noted, that although the cited literature seems to be in favor of the conclusion, there may well be other health concerns related to frequent meals; particularly with regards to dental health.