For most audio signals, this isn't an issue. But a Moving Coil's output is only 0.3mV, with a peak voltage of about 4mV with music dynamics, with a vast array of capacitances and inductances and impedances already inherent in the cartridge. So any cable capacitance will add to the low pass filter that already exists, and with such small voltages, the high gain stage of the phono preamp will amplify everything coming out of the cartridge/cable filter.
As I said, this could be investigated technically, but it's complicated, very complicated. I would hate for listeners to be too worried about the cables, but at the same time totally neglect them. Suffice to say, it's important to realize that the sound 'quality' is not the same as the frequency response, in that, a high capacitive cable will cause some kind of intolerable distortion or compression of the dynamic range.
There are many things to consider, but I think if we understand that the tweaks we are making for loading is to reach an acceptable frequency response, as opposed to trying to affect the overall quality, we can rest easy.
An example of loading:
Notice that the major differences exist starting at 8kHz-10kHz, and that some fairly major changes need to occur to make that much of a difference. So cable capacitance shouldn't be too much of a worry if you're using good ones.