Agreed, the finer particles will eventually work their way to the bottom, as long as the fine particles are dense enough to sink at all. This is basic physics when you consider the geometry of the problem.
It doesn't matter if the large particles are more dense or not. They'll hit the bottom first because of this. However, large particles end up with large gaps between them. Fine particles fit through these gaps, with at least some of them ending up under the top layer of large particles.
Now, if you gently disturb the substrate (ie: shake it without completely removing everything, like what happens as we do tank maintenance like planting plants), the fine particles that are under the top layer will find opportunities to work their way under the next layer, and more fine from the top will work under the first.
If you keep disturbing the substrate, over time the fine particles work deeper and deeper between the coarse particles. Eventually the fine particles will reach the bottom. Once they are there, they will form a tightly spaced layer. The gaps in this layer are too fine for large particles to slide between, so this effectively prevents the large particles from ever getting down under the fine.
Don't believe it? Put some gravel in a cup, top it with sand, gently shake and watch what happens. You'll quickly see the gravel resurface.
I'm thinking of swapping out Eco complete for a sand to be better for my corydoras.
I, personally, think the idea that corydoras need sand substrates and that substrates like eco-complete erodes their barbels is a pile of horse manure. Corydoras are most commonly found in nature in silty areas of slow moving streams, but that's because there's plenty of food there. However, they are also found in gravelly areas in nature, and it doesn't seem to be killing them off.