One likely explanation is that the full-fat version provides more satiety, but it is also possible that some of the fatty acids in milk products have an additional effect on weight regulation.
In summary, higher total dairy food intake (comprising milk, cheese, and yogurt) was associated with lower prevalences of global and abdominal obesity, and this relationship appears to be driven by whole-fat dairy foods. This study supports the inclusion of recommended intakes of dairy foods, including whole-fat products, as an important part of the diet that could have possible anti-obesity effects.
Also, unfortunately, in many low fat dairy products the fat is replaced by sugar, and these will almost certainly induce more weight gain than the full fat versions.