You probably consume less food in general or less fattening when it's spiced with peppers (i.e. less likely to eat spicy butter cream that plain butter in a dish and more likely to eat spicy soups that butter laden croissants). They haven't actually isolated anything about peppers, so likely something in the underlying population who self-selects this way.
Or maybe capsaicin helps to sate hunger. Or it makes you antsy and compels you into action. Or it makes you irritable in general and more likely to get into vigorous arguments and fights — all of which ingest less or burn more calories.
