This seems to be one those things one can test to one's own satisfaction to see the capabilities of the specific camera model you use, any in camera settings you prefer (like ADL for Nikons) that have an effect on a raw file, and your choice of raw processing program and settings.
Exactly so! I remember testing this issue years ago with my Canon 20D. A full exposure at ISO 800 produces noticeably less noise in the shadows, lower midtones and upper midtones than the same exposure at ISO 100 (which is 3 stops underexposed). This is old hat.
However, this situation does not apply to all sensors. Recent Nikon sensors have such superb dynamic range at base ISO, the noise in absolute terms is about the same at all ISOs. Not exactly the same. There may be some marginal benefit in using a high ISO in preference to underexposing at a lower ISO, but the advantages of avoiding any risk of overexposure, even of specral highlights, can be interesting. Sometimes one can even see the filament in a switched-on light bulb.
As Emil Martinec has pointed out, we should distinguish between absolute noise and relative noise in relation to the signal srength. With Canon DSLRs the absolute noise is less at higher ISOs, at a given exposure.