That one sounds like a great dumb line, but in fact is true. The house does warm up more quickly on a higher temperature setting than on a lower one, at least with forced air systems.

The reason is thermal mass. At a 20C setting, the furnace heats up the air to 20-21C, then turns off. The air quickly chills back to 17C as the cold walls/floors absorb the heat, and then the furnace comes back on again 5-10 minutes later to repeat the cycle.

Setting it to 25C gives a single long blast of warmth, enough to get the walls/contents of the house closer to 20C in one go, after which one sets the thermostat back down to 20C.

Cheers