> Some people are sharing anecdotes that they feel much colder in more humid weather - I think that's more to do with moisture on your body than moisture in the air.

It's not as straight-foward as this. Moisture in the air isn't just present as a dissolved gas. It's dynamic and often shifting back and forth between gaseous and water phases, forming microscopic droplets that can remain aloft and form an important component of energy flux in the atmosphere.

Furthermore, warmer air can become super-saturated with moisture if it cools rapidly, like the kind of inversions that frequently occur near maritime regions in the winter when warmer air from the ocean comes inland and cools off. This can form fogs or various less opaque mists as it precipitates.

Combine both situations with winds and the synergy between moisture and wind can leave you feeling much colder than a dry windy area alone.