I happen to disagree when it comes to venison and loin, both are extremely lean meats, the addition of a fat would help to limit the loss of moisture. Mind you the juiciness of meat does not only come from liquid such as water, but from fat. Hence the idea of bacon providing the barrier from evaporation and providing fat.
Alas, you also have to realize that fat molecules are much too large to penetrate fibrous muscle, that is why you are looking for marbling in cuts of meat. So the benefits would seem to be more about flavor than about juiciness. I don't think it is a myth as it holds some weight.
And if it is smoked isn't the smoke supposed to surround the cut? Why would bacon put on the top have anything to do with keeping the smoke out of the meat? Maybe limit the smoke on the top but definitely not the whole cut.