The simple explanation is that with more vanes (or fins), you have more heat exchange surface area, so more opportunity to extract heat. However, you also have an additional barrier in your fluid to impede flow, so the pressure drop will be greater.
Do some thought experiments.
What happens in your simulation as the number of vanes gets very small?
What happens with 1,2,3,4 vanes?
Does your simulation include the adverse affects that would be caused by vane thickness,
or are you simplifying the simulation by assuming that is small (for the typical number of vanes modelled)?
Is this a real effect, or is it a simulation effect,
or perhaps it is a mix of both, where a real effect would be mitigated by real restrictions which aren't fully modelled in the simulation
so that the simulation produces an exaggerated version of the real effect.