Ok, you know how the heat index works, right?? Higher humidity in the air makes it feel hotter...so lets pretend it really is hotter...
Heat transfer, out of a radiator or off the fins of a hsf, depends on the initial temperature difference between the surrounding air and the temp of the metal. Higher difference = more heat removed. Now assume the temp of the metal is always the same...and larger then the temp of the outside air. In order to make the difference between the two larger, you would need to DECREASE the temp of the surronding air. So, if our assumption that the more humid air really is hotter stands, then the more humid air will not allow as much heat transfer as dryer (or, using our heat index assumption, cooler) air!!
Does that make sense?? I'm not sure if that's the best way to explain it though...