The statin debate is part of the discussion, surely? The statin question skewed the whole of the research. After Ancel Keys came out with his (flawed) seven countries study everybody was advised to avoid eating saturated fat in order to reduce cholesterol levels. Had statins not been discovered not too long after, the discussions might have continued in a gently progressive sort of way. But a wonder drug was discovered that can hugely reduce cholesterol levels, more than can ever be achieved with diet alone.
And then, of course, the waters were muddied, because all of the research that relates to cholesterol actually was funded by pharmaceutical companies and relates to cholesterol lowering drugs.
The reason that it is difficult to identify actual research that says high cholesterol levels are beneficial for women is because that research doesn't exist (so far as I am aware). It is observational studies like Framingham etc that seem to indicate that the women with the greatest life expectancy have the highest cholesterol levels, but then again, association does not prove causation. Perhaps it's just a chance coincidence.