Not really a myth, but technically incorrect.
Photo by Yvonne M. Tso
The most pungent bits are in the placental tissue, i.e. around the seeds, and the pith. The seeds themselves have a low content of capsaicin, but the advice of removing pith and seeds is quite sound, because it also implies removing the placental tissue.
Within the pepper fruit, capsaicinoids mainly accumulate along the epidermal cells of the interlocular septum, which deﬁnes the fruit locules and is
derived from the tissue connecting the placenta to the pericarp.
—Capsaicinoids Content in Habanero Pepper (Capsicum chinense Jacq.): Hottest Known Cultivars
Capsaicin is present in large quantities in the placental tissue (which holds the seeds), the internal membranes and, to a lesser extent, the other fleshy parts of the fruits of plants in the genus Capsicum. The seeds themselves do not produce any capsaicin, although the highest concentration of capsaicin can be found in the white pith of the inner wall, where the seeds are attached.
Q. Where does the "heat" reside in the chile pepper? Many claim it is ALL in the seeds. I have also heard that the capsaicinoids are stored in the membranes of the chile.
A. Capsaicinoids are located on the chile membrane, or in the placental tissue, which holds the seeds. Although many people believe the seeds to be the hottest, seeds do not produce any capsaicin, but do absorb some from the placental tissues during processing.
—Chile Information - Frequently Asked Questions