Also, skinny people die more than people near the border between normal and "overweight," for reasons not fully understood, though which may be at least partially due to tobacco use.
I've been going with the hypothesis that people with a little more fat that what's considered healthy have more reserves for illness, operations, and/or cancer treatments.
I believe tobacco use has been considered in at least some of those studies.
So far as CR is concerned, a lot of thin people (like anyone else) aren't getting optimal nutrition.
An article about the pitfalls of using mice for animal research leads off with the example of calorie restriction. The controls for calorie restriction mice experiments were obese mice, suggesting that the health benefits of calorie restriction might be conflated with the health benefits of not being obese. I get the impression that people who study calorie restriction still think it worthwhile for life extension, but it's useful to try and integrate all evidence you come across.
[edit] timtyler suggests this is a well-understood effect that's already been taken into account by CR scientists.