@simna Lots of good posts here that should point you in the right direction.
I’d like to comment briefly on your statement:
"I’ve just bought Klipsch Heresy IV and I don’t want the cable to emphase the midrange bump in these speakers even more."
The Heresys will measure ruler flat in an anechoic chamber. No midrange bump "engineered" in. The response is measured using an industry standard 1 watt @ 1 meter reference. Place these in a listening space with real amplification and results may vary. The midrange "push" or emphasis can be caused by many factors, including the room. The Heresys are quite revealing and unforgiving of "warts" present elsewhere in the signal path. So, yes, interconnects matter.
The Heresys like all speakers are imperfect and have errors of both commission and ommission. They make sounds they shouldn’t and filter out information that would be nice to hear. To be specific related to acts of commission, Klipsch horn bodies have a tendency to set up symphathetic resonances with other vibrating objects in the speakers. So they, themselves, become "involuntary" transducers making sounds that are not part of the original signal. The midrange horn body shares a cabinet space with the woofer thus mimicing the lower midrange signals. The body is also directly coupled to the midrange driver and "sings along" thru a portion of the midrange & upper midrange as well. Same is true for the tweeter although woofer vibrations are below the resonant frequencies of the horn body. This added energy generates in-phase out-of-phase signals in concert with the drivers, thus emphasizing or sucking out certain frequencies. The louder the signal the more pronouced this phenominon. These "rogue" signals get bounced around the room like "ordinary" signals making matters worse, so room acoustics come further into play. Focus, detail and spacial information also suffer.
I’d highly recommend that you apply some quality dampening material to the back side of the horn bodies. For an investment of less than $20, it will offer the best bang for the buck you can do to calm down the midrange and smooth out the highs. The Heresys willl probably never sound like polite British monitors, but you can have high efficiency AND linear response -- with a little work.