Aluminium corrodes faster because it is more reactive and so corrodes in preference to the iron. The protective coating only occurs in the air because it forms a hard layer, but when it is in a constant flow of coolant, this doesn't occur.
While it is true that pure distilled water is not conductive, all it takes for it to become conductive is some ions in the water. As soon as it is put in the engine, it would pretty much become conductive because it would have some impurities in it from inside the radiator and engine.
Using water will definately cause more corrosion within an engine, especially to any aluminium parts, like alloy heads and the thermostat housing. Coolant helps to prevent corrosion and stop the water from boiling or freezing, and the effect of the coolant viscosity on reducing the cooling in the engine by the lack of convection currents is not really significant unless you are running a huge concentration of Glycol. I just run the cheap 5L bottles of Tectaloy in my car, and it has never caused any problems.
