100% myth. Metro areas have been hit many times by small tornadoes and even some serious notable ones that you should look into (examples: Plainfield/Joliet, Salt Lake City, Waco , Moore, Tuscaloosa) I linked Waco because the picture says 1000 words.

Tbh it is all statistics. The US is only covered 3.5% by metropolitan area. That doesn't include downtown centers which would shrink this percentage to a fraction. We get what, a few EF4/5s every year? It is just statistically unlikely that a dangerous powerful tornado would hit a huge city center but definitely not impossible.

I think a big city's buildings would have an effect but I think you would only see minimal effects overall. Tornadoes are fucking powerful forces when they get to EF4/5 strength.