for someone who is currently overweight (and so, in expectation, is less healthy than a similar slim person), will losing weight, in expectation, worsen his health?

You mean in the short run (during the period the person is losing weight) or in the long run (during the period the person stays at the new, lower weight)? It doesn't sound implausible to me that the person would be less healthy than before starting to lose weight in the former but healthier in the latter.