No the cable does not matter as such - what matters is nett current into Dave's ground plane, and this effect is completely independent of coaxial cable construction.
Ferrites work as they provide high impedance for nett current going into Dave's ground plane, and so reduces the actual value of the current going into the ground. In short, they supply greater isolation. Coaxial cables can't do this at all.
Either DAVE is immune or it’s not. Not all coaxial cables have the same shielding.