A crucial characteristic of royal icing is that you're incorporating air into the icing. You're essentially making a very sugary meringue. The air bubbles are stabilized by egg proteins which sit on the interface between air and water. The hydrophobic parts of the proteins (those parts that don't like water) will want to sit in the air, the hydrophilic parts (the parts that do enjoy water) will sit in water. Adding fats to royal icing will compete with the air bubbles. The hydrophobic parts of the proteins also like to sit in fat, probably even more than in air. As such, they will sit around the fat particles, leaving the air bubbles to disappear!