We had this discussion before.
Okay, I'm going to be quite serious.
We know that some materials are better than others for thermal conductibility. That is a given. We could make a list of different types of common materials and compounds and we would find that AIR is not a very good thermal conductor, unless it is in motion. When AIR is trapped in a pocket, the thermal conductivity is poor.
So what does this have to do with thermal compound? Simply this, both the aluminum heats ink and the metal surface of the CPU minor imperfections that will trap air and reduce the ability of the heat sink heat wave the CPU surface. This gives rise to the expression"thermal resistance", being that something between the heat sink and CPU surface is not allowing the heat to transfer as efficiently as it should. Ideally, the perfect thermal resistance would be resistance of zero. In practice, there are many compounds that have good thermal resistance. When spread out very thin the resistance is not very significant as compared to the dry air it misplaces.
To make a realistic valuation of different compounds the following procedure issues. We get identical motherboards and CPUs and cooling systems and use different compounds on the test boards and make sure the differential temperature. Of course, if we don't choose any heat sink compound there will be a very large differential to procure and there is danger is the CPU actually shutting down from overheating. Real laboratory tests have shown that almost any compound is more effective than just tried air trapped between the CPU and heat sink. For example, you could go to the drugstore and buy a compound that contains zinc oxide and try it as a heat sink compound. Surprise! You try and try and you would find that there is virtually no difference between just plain zinc oxide compound and almost any other kind of compounded to think of. The differential temperature is near the same. Withing 2 degrees Celsius.
You wonder why this is true? It just is. Not by theory, not a conjecture, but by actual in the laboratory testing. And in real science and technology, it's what works and really matters. So why pay more money for something that doesn't work much better? Well, when we go beyond science and technology and into something else, it is something else.