Well, for instrument cables it sure makes a difference, but I don't know anything about electrotechnical stuff, so I can't explain why and how, but after using spectraflex cables for years I tried Monster cables, and that made a noticeable difference in sound..not as much as an other amp or an other guitar.
I also have a guitar with EMG's and for some reason the difference with those pickups is not as large as with other pickups (passive).