It is all about getting the signal from one component to another with the least possible degradation of the signal.
I have been lucky enough to own some very good hifi (Naim) and had some exremely helpful people from the store I deal with. They loaned me various cables in different price ranges and there was a noticable difference in quality between the cheaper and dearer items.
So, there is no reason why this should not appy to guitar equipment not only between the guitar and amp but also between stomp boxes and any other items.
Dave.