Maybe this is not that much of a surprise either though? I wonder how much of this has to do with muscle. BMI infamously ignores muscle mass. An interesting followup would be whether people with low body fat % are sedentary. My guess is that they aren't.
Side note: maybe there is a disparate importance of "Calories In" vs "Calories Out" for people who are under/over weight. Maybe underweight people should focus on exercise more, and overweight people should focus on eating less?