I agree with you. Low-density desktop applications cause me more unease because there's more need to scroll to make sure I didn't miss something. It's especially egregious when the designers make the scrollbars invisible (appearing only on hover or use), meaning there's often no indication of more content available via scrolling. It breeds the habit of ritualistically scrolling each pane to make sure you're not missing something.

There's something psychological about the appearance of a low-density display as well. I can't quite explain it, but it causes me a bit of displeasure because it feels wasteful. There are so many pixels available but they aren't doing anything for me. I don't know why this causes me discomfort, but it does.

Finally, it's important for an application like a mail client to not lose sight of the fact that the way people use email varies. I personally use dozens of folders, meaning the density of the folder list should be as compact as reasonably possible so that I don't need to scroll.