Same with instrument cables. No, a brand new expensive guitar cable does not sound better than a cheap one.
Although I generally agree, the fact is there are degrees of what constitutes "expensive" and of course, the nature of the guitar pickups, local environmental factors, and, last but not least, little things like anti-RFI on the guitars own guts, and the integrity of the amplification unit... all bear a huge responsibility as far as the presence, or lack of, "interference."
Having played electrics, more on than off, since about 1965, I've seen my fair share of musical instrument hype. And at times I've tried all sorts of devices, wiring schemes, ground lifters, and yup, expensive cables. And it usually boiled down to: physically moving around to find a sweet spot.
But, I am currently doing my limited "plugged-in" practice in a room with funky old electrical wiring, playing on a number of single-coil Fenders, through an old Ampeg that dates back to somewhere between '68 and '72... and the situation, powered up, whether the guitars volume pots are full open, or closed, is... whisper quiet. No 60-cycle hum, no RFI. Nada.
After all these years, frankly, it's a bit startling. The only actual circuit change? Klotz cables (their higher-end model). Silly pricey. No phony "gold" connectors.No ultra-thick wrapped copper (as in bogus "Monster" stuff). As a matter of fact, they don't even tangle like normal cables. And I'm using one to run into a small (5 or 6 unit) pedalboard, that has nothing but 9-volt batteries, and no ground lifting whatsoever, and another Klotz running out of that to the front-end of the VT-22, with precious little attenuation, and no "noise suppression" or "gates," at all.