Well, it's been said that coconut oil is good for keeping protein in your hair, so that could be a part of it if you're protein sensitive. However, I can use protein with few problems, but my hair doesn't like coconut oil either. It makes my hair dry and my scalp itchy.
It's kind of disheartening/confusing when a particular ingredient is backed up by so much research and seems to work for so many people, only for it to not do anything good for you. I experience the same thing with shea butter as well. Everyone rants and raves about it, but it just makes my hair straight up greasy and dry, no matter how I use it.
I guess the bottom line is that everyone's hair acts differently. Like you, though, I'm interested in finding out what it is that makes coconut oil drying.