It's important to take that study in context. From the abstract:
The relation between body weight and mortality among persons with type 2 diabetes remains unresolved, with some studies suggesting decreased mortality among overweight or obese persons as compared with normal-weight persons (an “obesity paradox”). [edit: In point of fact all studies are best taken in context.]
Considering diet is so important for managing the disease being light weight is probably correlated with a greater focus on health.
That said, it seems likely that reducing weight would have a net positive impact on heath and it's other risk factors which are being improved.