If it was true at one time, modern HVAC makes it moot. Also, it is specific to where the saying came from: "cool" and "humid" mean different things in different places, to the point where dry in Kauaʻi is more humid than wet in Indio.
If it's raining outside but the heater is on because it's also cold outside, it's probably very dry inside.
So the advice is very vague. It would be far better to make a statement about the relative humidity in the vacinity of the candy, which is not the same as outside and need not be the same as the kitchen in general.