imho, everything affects.. otherwise a cheap $10 iem with same shape would simply sound as good as a $100 iem..
things just doesnt happen that way tho.
for me, cables does affects. housing too, drivers, vents, materials, etc. the important point is how they all add up to make the changes. every little bit counts. changing just one element will not change the overall sounding, in this case the cable. it will surely have an effect, but there's 3 problem here. what is affected? can the effect be heard? and most important; does the listener knows what kind of difference to look for?
I would say it's simply the 3rd issue for non cable believer. they are looking for something specific. but what if the difference isnt specific? what if the cable affects the whole spectrum? not just bass, mids, treble, etc? what if it doesnt even affect the frequency response? how would you know where the effect is? soundstage? energy? speed? impact? focus? tone? distance? width? depth? decay? impulse? dynamics?
even when doing online test. we see a lot of variation from people able to tell and not able to tell the difference between 2 tone, 2 pitch, 2 octave, or heck, even 2 notes.
there's just too many things that can affect the presentation of a music, and the effect will only be more obvious in subtle and delicate music. that's why orchestral music is always being used by people who reviews speakers, they dont review rock, metal, hip hop, etc.