This is absolutely false. Kinetic energy on game is increased with speed. There are so many ways to show you but i think this one is the easiest to understand. I do agree a good bullet exiting the animal should do the job at any speed.

The information below is from Hornadys web-site.

In essence, a bullet going through soft tissue has the same effect as dropping a stone into a pail of water - if the stone (bullet) enters the water slowly, the water (tissue) displacement is so gradual that is has little effect on the surrounding molecules. If the stone (bullet) enters the water (tissue) with a lot of momentum, however, the surrounding molecules have to act a lot more quickly and violently, resulting in a splash (temporary cavity). Temporary cavitation is important because it can be a tremendous wounding mechanism.