Cya,
[/lecture mode on]
BNC is also coaxial (the word refers to the conductor in the middle and the shield around that in a co-axial shape).
BNC is the type of connector, the standard audio connector is usually referred to as RCA. The BNC type of plug is used in communications and measurement equipment when high frequencies are involved. It is designed to provide optimum impedance matching. This is needed to provide a high quality pass-trough of HF signals (we are talking MHz range signals here).
You can compare this to looking to a Macbook screen that is glossy (which I'm doing at the moment). When you are wearing a light color shirt and have a darker background you see yourself in the screen.
It blurs the image. When you wear black and have a (relatively) dark background, there is less reflection and the screen image is sharper. In other words the impedance (color) matches.
Impedance mis-match causes reflection of the signal, which causes blurring of the signal.
There is quite a good article on this to be found here:
http://www.positive-feedback.com/Issue14/spdif.htm.
[/lecture mode off]
Its always better to have as much impedance matching as possible (connectors, cable, internal cable). So, the answer is yes!
NB: you have to use 75ohm connectors, most communication equipment uses 50ohm.
(Sorry for bothering you with a long answer
)