So far, all I've found is some research that artificially lowering LDL or raising HDL may not show clear correlation to lower heart disease risk- not quite the same thing as saying LDL isn't generally correlated to heart disease risk:
Broad overview:
https://www.scientificamerican.com/article/cholesterol-conundrum/
http://www.nejm.org/doi/full/10.1056/NEJMe0801608
http://www.nejm.org/doi/full/10.1056/NEJMoa1107579The linked paper goes into more detail, of course. And this is only one drug, but there are quite a few other failures of similar type, though less dramatic, discussed in the "Cardiovascular Disease" section of his blog. He always links the original papers, but they're often paywalled or highly technical.