True but as always, it depends. Even large markets with multiple premier backbone providers can have interesting routes. If two backbone providers don't share traffic until they get to a major hub (i.e. Chicago, NYC, WDC, etc.), a speedtest site in your hometown may require packets to leave town, go hundreds of miles away, cross over and return hundreds of miles. When this happens, it's far better to choose the speed test site at the major hub than the site next door.
As an example, the speed test site in St. Louis (where I am) stinks. It's better for me to use sites in Chicago, Dallas or Kansas City because Charter has direct routes to those cities. However, the local speed test site has traffic going to Chicago and back. (Download something like Ping Plotter and watch where the packets travel.)
Speed test sites are also not created equal. I've tried to use the speed test site in St. Louis from a lot of provider networks in town and I've never had great results.