This is not a new finding. It's common enough to have a name: the cholesterol paradox (
https://www.ncbi.nlm.nih.gov/pmc/articles/PMC6374572/). Also replicated in a more recent n=100k Denmark study:
https://www.bmj.com/content/371/bmj.m4266These are all observational studies, meaning cause and effect is not established. It's relevant that people with some cancers will have very low cholesterol (the cancer apparently using it as fuel source), which reverts to normal in remission. Other medical conditions can lower serum cholesterol, from IBD to chronic liver disease (https://www.ncbi.nlm.nih.gov/pmc/articles/PMC3271321/).
If low cholesterol is inherently mortality inducing, lowering it directly in otherwise healthy people should cause more deaths. This is a testable hypothesis. The Denmark study found that people on statins (cholesterol lowering) did not die more, even when they were on the lower side of the U curve.
There have also been countless RCTs with statins (or other cholesterol reduction drugs) being the only controlled intervention, finding that low TC improves total mortality.
A long term study tracking change in total cholesterol found that people who always had low TC (genetically) did not have a higher risk of death, but those whose TC suddenly dropped from normal to low had a higher risk of cancer: "We observed a significant risk of cancer, noncardiovascular noncancer, and all-cause mortality in men whose TC levels changed to low (https://www.ahajournals.org/doi/10.1161/01.cir.92.9.2396)
These points together point to the low cholesterol -> high mortality link as being a biomarker of underlying disease, not a direct causal link.
(Info taken from this video: https://www.youtube.com/watch?v=CxX51n2Z0vc)
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edit: skimmed the paper, authors mention everything in this post but have some counterpoints. They point to other longitudinal studies where consistently low cholesterol was a risk factor for death (a point against the sudden lowering due to cancer hypothesis). There are many studies like this, but the problem is while we have shown the link b/w cardiovascular death and high cholesterol through RCTs, there are no strong theories for the diseases caused by low cholesterol, while we know cancer and chronic liver disease cause low cholesterol. It could just be a marker of general frailty in old age.