Why do digital coax cables matter?

Because $500 one must sound better than one for $20 under First Amendment of Audiophile Bill of Rights.

Think of the range of answers to your question as a knob on your amplifier. You can turn it from hard left (7 o'clock) to hard right (5 o'clock). Or you can stop at any point in between.

Say hard left is the "complete skeptic" setting. If you put your knob in this position, you'll think that all USB cables sound alike and that anyone who hears a difference is a fool deluding themselves.

Hard right is the "magic" position. There will be vast and obvious differences between cables for reasons that probably involve Star Trek warp drive principles.

Move the knob to the middle left and you might think that, under some circumstances with certain equipment, RFI noise can subtly affect results. Move it mid-right and the difference between cables is heard more often and with greater clarity, and the technical explanations will go up a notch in creativity.

So, dial in whatever setting makes you happy. Just remember that no matter which one you choose, there will be plenty of people ready and willing to tell you you're wrong.

Two things that I have learned through experience with many digital cables over the years.
1. Digital cables can and do sound different from each other. Or put another way, some sound better some worse.
2. A $200 cable may or may not sound better than a $100 cable. I have owned digital cables that retailed from $86 to $3600. I'm currently using a $200 digital cable that I'm very happy with.