possibly, because:
The CPU PCB isn't designed to radiate heat.... the CPU base, on the other hand, can and does. If you grease both sides of the shim, chances are heat will flow from heatsink base to CPU pcb through the shim.... Not a huge amount, but some definately can...
One of the earliest, best indicators of this was a peltier article at overclockers.com. The person used a peltier + p3 coupled with internal diode readings to check whether a shim was helping or hurting.... with a cold-side contacting the shim, it actually lessened the effectiveness of the peltier. Now imagine if hte shim was contacting a fairly warm surface....
Mike