Duck fat is NOT a saturated fat. It is primarily MONOUNSATURATED and it also contains a pretty significant amount of omega-6 at that.
That polyunsaturated omega-6 content will easily go rancid if exposed to heat and that can cause all sorts of information, oxidization, etc. which is not a good thing at ALL.
And YES, fat quality is extremely important. Fat is where the majority of toxins and nasty hormones or chemicals accumulate in animals, so getting fat from animals that are less likely to have been exposed is, in my humble opinion, even more important than the muscle meat of the animal.
Also, cooking in fat is a GREAT idea. But the only fats I ever cook with these days are coconut oil, butter, ghee, and tallow. I will use olive oil for sauces, dips, and dressings that are uncooked. Or just drizzle it on some steamed veggies after they've cooled a tad.