True, the cooler the air is that goes through the throttle body, the more HP you make because cooler air is denser. The basic addage is the more air you can cram into an engine the more power it will produce. Colder air is more dense compared to a warmer (fatter) air mass.

Coolant flowing through the throttle body prevents internal icing and possible sticking of the throttle plate. If it never goes below freezing where you reside, go for it. Coolant can (and regularly does) go over 200F, which heats the incoming air, robbing you of a few HP.