Obviously if you let the compressed air cool, then you're letting the energy dissipate. So if you want to preserve all the energy, don't do that.
The oh-so-clever trick is to transfer heat elsewhere while you're compressing the gas, so you actually reduce back-loading on the piston instead of having it 'fight' the temperature rise. This can be accomplished via water spray, or by compressing a gas bubble that's surrounded by water (eg in the trompe).
By continuously removing heat as you compress the gas, it effectively acts like a train of compressors and intercoolers with an infinite number of stages, ie true isothermal compression. No magic, just physics.
This is unlike traditional CAES, where the air is reheated by burning a fuel. There, fuel use is minimized by isothermal compression.
It seems like either this is describing an additional energy storage/extraction method that’s possible with these systems. Either to improve the efficiency or something that’s actually far more efficient than utilizing kinetic energy compressed air can create.
It’s kind of like saying the water in a hydropower plant doesn’t store energy. The turbines aren’t extracting energy from the water itself. They’re extracting energy from gravity acting on water. It doesn’t matter if the water is nearly freezing or nearly boiling, it has roughly the same amount of hydropower available.
This is not the case in a CAES system. The internal energy of air, which is the kinetic energy of its molecules, is independent of pressure. It's only a function of temperature. The internal energy of the air is unchanged by a process that increases its pressure without increasing temperature. So, no energy has been stored in the air.
What has been done is reduction of the entropy of the air. So, it is now possible to convert some of that internal energy (which was always there) to work by expanding the air. The air would end up even colder than the initial air.
Compressing air absolutely does store energy. It takes work to compress it, and work will be done when it is allowed to expand.
Yes, one way of measuring the stored energy is by the resulting increased temperature. Compressing air necessarily raises its temperature. And then if you want to you can transfer that heat elsewhere, go ahead. That's how air conditioners and refrigerators work, after all.
But in the basic case, it seems entirely accurate to say that compressing air does actually store energy. Just like raising a heavy object against gravity stores energy.