Mr Strassner, the cable genius behind HMS cables says that it does make a whole lot of a difference.
This guy is developing the measuremant banks and instruments in super conductor tests,(special super cooled conductors, who loose their electric resistance at one point and science hopes to eventually help solving mankind's energy problems with super conductors) besides his audiophile line of HMS cables.
He is one of the world-wide authorities to ask about cables and currents. And yes, his cables come with arrows. As a stout scientist, he does not believe in some sort of Voodoo and if he thinks that at least in his cables it does make a difference, than we laypeople can trust his superior knowledge of currents and conductors.
Since you only have two choices to connect your cables anyway, why not follow your cable manufacturer's recommendation and hook them up accordingly?
I assume that even if you do not gain anything, you can at least have some rest in mind that you followed your manufacturers guidelines. So what do you loose by follwing these outlines?....Right, you can only gain.