The conglomerate discount is real - about 10% on average in developed countries. This applies to public companies, so is a revealed preference of institutional and retail investors, not VCs and angels.
I retract my previous statement and substitute it with something more like:
The discount investors apply to conglomerates is linked to perceived lower risk.
So while it might not be accurate to say investors want smaller, nimbler, more focused companies without specifying which investors, it can be accurate to say something like investors looking for a higher rate of return (which implies greater risk) want smaller, nimbler, more focused companies.
But I don't think that's what the conglomerate discount is, which I believe says that the components of a conglomerate are worth more than the conglomerate itself. More precisely, "Conglomerate discount is calculated by adding an estimation of the intrinsic value of each of the subsidiary companies in a conglomerate and subtracting the conglomerate's market capitalization from that value." [1]
[1] http://www.investopedia.com/terms/c/conglomeratediscount.asp...