"Eating protein with fat makes nutritional sense, because all food, and protein in particular, requires fat for proper digestion.
Consider, for example, two near-perfect foods: eggs and milk. Both foods are a complete nutritional package, designed for a growing organism's exclusive nutrition, and must contain everything the body needs to assimilate the nutrients they contain.
Thus the fats in the egg yolk aid digestion of the protein in the white, and lecithin in the yolk aids metabolism of its cholesterol. The butterfat in milk facilitates protein digestion, and saturated fat in particular is required to absorb the calcium.
Calcium, in turn, requires vitamins A and D to be properly assimilated, and they are found only in the butterfat. Finally, vitamin A is required for production of bile salts that enable the body to digest protein.
Without the butterfat, then, you don't get the best of protein, fat-soluble vitamins, or calcium from milk. That's why I don't eat, and cannot recommend, egg white omelets and skim milk. They are low-quality, incomplete foods."
Credited to Nina Planck in her book: "Real Food - what to eat and why"