It's a fact, but only a couple of Wednesdays each month, not every one. If you reverse the order and go to Mykonos first you'll have other options for getting to Santorini on a day that the direct highspeed ferry doesn't operate. There will be a different highspeed ferry from Mykonos to Paros at 10am that only takes 40 minutes, then you can catch the regular car ferry at Noon to take you the rest of the way to Santorini. This is actually a better way to see Santorini for the first time, from the deck of an open ferry entering the caldera, instead of through a dirty window on a highspeed, and you'll reach Santorini a couple of hours before the direct highspeed ferry arrives.
To see the schedule for the direct highspeed, look here: http://www.ferries.gr/hfd The schedule for next May will not be available until sometime in April.
It may be necessary for you to change those tickets.
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