Indeed. Rolled oats (flattened kernels) get heated, by being squashed, during the milling process, which destroys nutrients. The steel cut variety is cut by steel knives, sorta like slicing a pickle, and is not heated - therefore more nutrients are retained.
It takes a lot longer to get soft enough to eat too. When I was eating it regularly I'd soak it overnight to soften it. Otherwise it's like eating gravel.