Yes, it is true that you can gain more by doing less. In your case, after doing the 5 times a week, your body is fatigued and thus slower to recover so you did not see results. By decreasing the number of days you work out, you are giving your body more recovery time and thus next time you do a work out, you can do more.
It depends on how intense your workouts are, Cathe's is quite intense and I do think that you can do it consistently for a time, but not for a long time. You should shorten the amount of times every few months to give yourself more recovery.
I can do something like Reebok's step tapes or other instructors and some of Cathe's like Power Max, RS etc. every day. But MIC, IMAX should not be done on consecutive days.
In answer to your question, it is not how many times a week, but how intense is each session that will give you results.
Yen