To answer the question. Yes, the HD800 is responsive to cable changes, especially when switching materials (stock is SPC). However, I wouldn't worry about cables until I spent a good deal of time and money on my source and amp. The stock doesn't sound bad IMO; there are just better cables out there.
A universal truth for all cans
In my case, my source is endgame, amp...I've shuffled around for a few ideas....the PM6004 actually sounds great but it has a serious problem that is either a defect or a design flaw....very very quiet passages (-40dB or less) of classical recordings especially with soft wind instruments there's a bit of "extreme grain" or crackle sound that detracts from the music. It seems to only occur on HD800. It happened on HE-6 if I forced the signal level really low via the EQ, but never if at normal signal level. On D5k and HE-400 it wont' do the noise. And I discovered with HD800 on a recording that doesn't have signal levels that low, if I drop the input voltage to a certain range the noise occurs, but if I raise the signal level above or below that range it's fine. I suspect a combination of the input signal level combined with the high gain, low input sensitivity, and just the right vgain when used with HD800 on the pre section is creating the problem. Ugh. It's a shame, it's otherwise a very nice sounding amp for HD800!
I'm thinking of avoiding tubes, just grabing a Mjolnir given the positive response from other HD800/MJ users and calling it a day I'm EQ'ing so I don't need my amp to color anything favorably...I'll create my own coloration. Darn you, sphinx, for getting me to buy your headphones and thus another amp!
I bet HD800 would sound fantastic on my MM7025, and with the HE-Adapter would probably even work....but I'm hesitant feeding HD800 to such extreme power potential, even if it's well controlled.