One anecdotal report from one camera under unknown conditions proves nothing at all. Why don't you look at Thom Hogan's report of JPEG with the Nikon D50, which was mentioned earlier in this thread or do a few comparisons yourself?
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I will go through the article later today but from what I recall, Nikon uses 3 different RAW formats in their cameras.
Their higher-end cameras like the D2X (and probably the D200 too), uses the data that comes right off the sensor and prior to the processing engine of the camera having a go at it.
A watered down version of the "RAW" is present in cameras like the D80, where the data is NOT 12-bit but an emulation of it (or something along those lines).
An even further watered down version, which they also called "RAW", is present in cameras like the D40/D50 etc., which throws away even more information that the above D80 "RAW".
If the above is true, I would not be surprised to see very little difference between a high quality JPEG and this watered down version, termed by them as "RAW".
My definition of RAW is the data that came off the sensor, prior to any kind of processing from the camera - nothing more, nothing less.
The D40/D50 "RAW" is not a true RAW in my opinion, even though they may term it as such, for marketing convenience.
As far as the "anecdotal report" is concerned, you are right. This is just one anecdotal instance. But keep in mind, that these are small sensored cameras with a lot of MP stuffed into them. The noise reduction systems (specifically at any ISO greater than the lowest ISO) in such cameras, would be ruthless in eliminating detail and noise and there is nothing anecdotal about this fact. The attached link is highly representative of what a typical small sensored camera does, at 400 ISO, when it creates a JPEG....nothing anecdotal or surprising about it.