In reference to connector, for small voltages like phono they matter and require cleaning as do loudspeaker terminations that are the weakest link.
On cables it's not the cable changing anything, it's the visual appearance and in some cases the capacitance and inductance load created by the cable on the input stage the cable is feeding with interconnects and the loading on the power amp.
Some cables are worse than no cable in the regard.
Don't tell a cable can sound better than no cable!