small particle size is beneficial for heat transfer which means higher rate of heat transfer (high heat transfer coefficient) by decreasing the size of the particle. The more dendritic is the structure of powder particles the smaller is the apparent density of powder.

https://www.sciencedirect.com/search?qs=grain%20size%20affect%20on%20heat%20convection%20coefficient&show=25&sortBy=relevance

https://www.sciencedirect.com/search?qs=grain%20size%20affect%20on%20density&show=25&sortBy=relevance

You are mixing terms. In a solid we have thermal conductivity. In a fluid passing over a solid (such as air cooling a fin on the cylinder head of a motorcycle engine) we have a convection coefficient. The convection coefficient might be affected by the roughness of the cast metal fin, but that is entirely different from the grain size in the steel or aluminum metal itself. Grain size in a metal is microscopic and impacts the density and thermal conductivity. There are methods for estimating the impact of grain size on the properties of various solids, including steel. If you are considering powdered metal (or individual particles of metal not in a solid shape), that is yet another case, which is a non-Newtonian fluid.