That has always been the conventional wisdom, although if the oil temp is 250 degrees and the coolant is 190f, it would cool the oil. I removed mine as well, and had it removed on my track car with any problems. On my GT-R, there are coolant intercoolers that link to both the oil and the transmission fluid, so the are normally all very close to the same temperature.
I would be most concerned with the cause of the loss in power at higher oil temps. If it is due to timing retard, that can exacerbate the problem, as the reduced timing will typically increase both EGT and oil temps.
Jeff