Here is an interesting prospective study with a 15-year follow-up period:
Dairy consumption and patterns of mortality of Australian adults
"There was no consistent and significant association between total dairy intake and total or cause-specific mortality. However, compared with those with the lowest intake of full-fat dairy, participants with the highest intake (median intake 339 g/day) had reduced death due to CVD (HR: 0.31; 95% confidence interval (CI): 0.12–0.79; P for trend = 0.04) after adjustment for calcium intake and other confounders. Intakes of low-fat dairy, specific dairy foods, calcium and vitamin D showed no consistent associations."
People who ate the most full-fat dairy had a 69% lower risk of cardiovascular death than those who ate the least. Otherwise stated, people who mostly avoided dairy or consumed low-fat dairy had more than three times the risk of dying of coronary heart disease or stroke than people who ate the most full-fat diary.
Milk consumption, stroke, and heart attack risk: evidence from the Caerphilly cohort of older men
"These results give no convincing evidence of an increased risk of vascular disease from milk drinking. Rather, the subjects who drank more than the median amount of milk had a reduced risk of an ischaemic stroke, and possibly a reduced risk of an ischaemic heart disease event"
In the Rotterdam study, high vitamin K2 intake was linked to a lower risk of fatal heart attack, aortic calcification and all-cause mortality. Most of the K2 came from full-fat cheese.
Dietary Intake of Menaquinone Is Associated with a Reduced Risk of Coronary Heart Disease: The Rotterdam Study
"The risk of incident CHD, all-cause mortality, and aortic atherosclerosis was studied in tertiles of energy-adjusted vitamin K intake after adjustment for age, gender, BMI, smoking, diabetes, education, and dietary factors. The relative risk (RR) of CHD mortality was reduced in the mid and upper tertiles of dietary menaquinone compared to the lower tertile [RR = 0.73 (95% CI: 0.45, 1.17) and 0.43 (0.24, 0.77), respectively]. Intake of menaquinone was also inversely related to all-cause mortality [RR = 0.91 (0.75, 1.09) and 0.74 (0.59, 0.92), respectively] and severe aortic calcification [odds ratio of 0.71 (0.50, 1.00) and 0.48 (0.32, 0.71), respectively]."
Milk drinking, ischaemic heart disease and ischaemic stroke II. Evidence from cohort studies
"In total, 10 studies were identified. Their results show a high degree of consistency in the reported risk for heart disease and stroke, all but one study suggesting a relative risk of less than one in subjects with the highest intakes of milk. ...the studies, taken together, suggest that milk drinking may be associated with a small but worthwhile reduction in heart disease and stroke risk."
The fat contains vitamins A, K2, E and D. It also contains medium-chain triglycerides, CLA, butyric acid and omega-3 fatty acids. I think this could be evidence that one or many of these components are at sub-standard levels in the Western diet.