The coupon effect has nothing to do with credit risk - it has to do with a non-flat interest rate curve.
The calculation for YTM assumes that all coupons are reinvested at a single rate (the YTM) over time. But in reality, the forward curve of interest rates generally has a upward slope, so early coupons will (if the forward curve holds true) be reinvested at a lower rate than the average rate for a longer period of time, bringing the actual overall yield down.
The larger the coupon, the larger this effect. For a bond with small (or no) coupons, the effect of reinvestment risk is smaller since the overall yield of the bond is determined less by the reinvested coupons and more by the initial price paid for the bond.
Surely higher yields still mean that the investment is better?
If all other factors (duration, coupon, credit risk etc.) are equal then yes, a higher yield is a better investment. How I interpret what Tuckman is saying is that you can't take one measure (like yield) in a vacuum. You must also look at the coupon rate to see if there's some additional risk that's not captured in the YTM. In addition (not inferred from the quote), one must look at measures like duration (a measure of interest rate risk), OAS, credit risk, etc. to determine if one high-yield investment is "better" than another.