Heating food causes oxidation of the food's fat. But so does the environment of the gut, which is warm and acidic and full of oxidizing chemicals. In fact, lipid peroxidation takes off in a chain reaction there. A number of compounds are formed which have been shown to damage gastrointestinal cells. Some are absorbed and can be detected in plasma where they contribute to artery damage, atherosclerosis, diabetes, arthritis, and certain cancers. These oxidized compounds are especially elevated in blood following a fatty meal.
Some redeeming news ... eating foods that contain polyphenolic compounds, especially at the same time, can decrease products of fat oxidation. Red wine is known to do this, as are vegetables and fruits.*
Here are two studies addressing the wine angle:
The Stomach as a “Bioreactor”: When Red Meat Meets Red Wine, Journal of Agricultural and Food Chemistry, June 2008
A Novel Function Of Red Wine Polyphenols In Humans: Prevention Of Absorption Of Cytotoxic Lipid Peroxidation Products, FASEB Journal, 2008
* Alcohol in wine substantially increases the risk for breast cancer.