Put down the torches and pitchforks for a second and hear me out.
The paleo movement these days seems to consider the notion that saturated fat is essential and healthful to be a truism. Surely an ancestral diet would contain a fair amount of it and we have had our fair share of evolutionary exposure to it over the millennia. As such, there's no legitimate case to be made regarding it's safety.
What I'm wondering however is whether someone trying to lose body fat can cut saturated fat out of their diets without any ill effects. The common knowledge answer that I run into a lot is that saturated fat gets "turned into" cholesterol, which becomes pregnenolone and then is the substrate for the sex-, stress-, corticosteroids and vitamin D. I looked into it though, and hepatic cholesterol synthesis uses acetyl-CoA, not saturated fat, as a substrate, though I suppose the metabolism of saturated fatty acids could contribute to the general pool of acetyl-CoA, though it wouldn't necessarily need to.
I hate to talk about dietary monoliths such as "saturated fat." What we're really talking about (in descending order of hypercholesterolemic potential) are myristic, palmitic, lauric and stearic acid. Stearic acid is converted to oleic acid (a monounsaturated fat) by the liver, so it has no effect on serum cholesterol concentrations. Interestingly, stearic acid was shown in the Nurse's Health Study to be more atherogenic than the other 3.
So, when you eat the first 3 fatty acids, it appears that they increase serum cholesterol by downregulating hepatic LDL receptors (in the presence of dietary cholesterol). This causes the serum pool of cholesterol to swell as, I assume, less is taken out of circulation by the liver and turned into bile etc.
Now, most of our cholesterol has an endogenous source, constructed of a molecule present in abundance with any diet containing sufficient calories. I wondered what the cholesterol level is of a person whose diet contain practically no dietary cholesterol (i.e. vegans). I had such a diet for 8 years (don't ask) and my cholesterol was about 143 toward the end of it. A study here: http://www.ncbi.nlm.nih.gov/pubmed/1849932 shows the mean of a group of vegans to be a little over 130mg/dl. I tend to agree with Paul Jaminet that the optimal range is 200-240, so you'd likely be healthier than someone eating the SAD for other reasons, but you probably would die early.
So, I thought, a good proxy to examine for whether these vegans are producing enough cholesterol for health would be testosterone levels. Surely you couldn't have inadequate cholesterol circulating but still have acceptable sex hormones, right? Typically, in a time of scarcity, testosterone is the first thing to plummet. A study here: http://www.ncbi.nlm.nih.gov/pmc/articles/PMC2374537/ shows their free testosterone to be roughly the same as meat eaters. Indeed, my personal experience was that I had no problems with libido whatsoever (set a few PRs, truth be told) - but I digress.
Given all of this, what if, in order to reduce energy density in a fat loss protocol, one were to rely on lean meats and reduced saturated fat as much as possible while also focusing on dense sources of cholesterol that don't also contain a lot of fat, such as crustaceans of various types. Between endogenous production and dietary cholesterol, one would expect a serum cholesterol level well in excess of that achieved by a vegan, which I think ought to be sufficient for all involved biological processes.
I suppose a counter-argument would be that our bodies have evolved to "expect" that aforementioned hepatic LDL receptor downregulation, but it might simply be that the body requires extra cholesterol in that specific case order to cope with some aspect of a surge in saturated fat intake, otherwise I don't see why its clearance would be downregulated under that circumstance.
I feel like I'm missing something here, though, so let me know where I've strayed.
Edit: I just thought of the fact that lauric acid increases HDL significantly, but if you're eating macadamia nuts, you get a fair amount of it without getting much in the way of other saturates.