I guess that depend on what one finds to be overstated. It's believed the myth started from a study done by the US Army in the 50s and their field manuals declared one lost 40-50% of their heat through their head. A field manual I recall seeing in the 80s.Not exactly a "myth", but it probably is a little overstated......
About 10 years ago, several studies took on the challenge and determined that heat loss through the head is only slightly greater in proportion to the relative skin exposure of the head. Perhaps that slight increase is due to the capillary density you refer to.
It's thought the original experiment was flawed because one's extremities (head, face, hands, ears) are more sensitive to detecting temperature change, in order to control the body's reaction.
For me, interestingly, I find that covering my neck in frigid temperatures is the first thing I do to feel warmer. But I don't think it makes me any warmer.