It's true that cycling as fast as you can or slower will burn the same calories over the same distance.
But there's more to it than that. If you go all out your body can't metabolise fat fast enough to fuel your muscles so it takes the glycogen from your muscles/liver/bloodstream. However, if you slow your heart rate down (and religiously keep it there), your body will begin to adapt and will learn to burn more fat 'on the fly' than it did before. It's suggested that this is more desirable long term.
But.. There are other benefits from a higher heart rate. If you can get into anaerobic zones, your body will keep your metabolism in high gear after you finish riding, for quite some time. I'm not aware of any research that has been done to compare whether the fat burn of this feature is more efficient at metabolising fat than training for a slow burn, it would be interesting to see.
It's all going to be individual. For me, pootling along with a HR of about 115 would be mind numbingly boring, I would give up and go eat bad stuff instead, I'd rather do some sensible slower base miles in my commutes, and do some mad speed stuff at the weekends with mates.
Do what feels right and keeps you interested, then you'll make great gains, as I have.