Yes, they certainly do.
Speaking from considerable experience with headshells, wires and mounting hardware, I can assure readers that these things make a difference. Not only do the materials and construction improve as one spends more on these elements, but their contribution to the total mass and therefore resonant frequency of the tonearm/cartridge system is a critical consideration.
I’ve found headshell wiring to be significantly important. I currently use SME silver headshell wires and they are the best I’ve found so far.