Yes, the issue comes when you have garbage bypass like in vintage MXR pedals and some Electro Harmonix pedals. Even when "bypassed" they are loading your signal and definitely are affecting your tone. In cases like this, True Bypass IS better than the alternative. With modern buffered bypass pedals there are still design considerations that can make a pedal sound better or worse bypassed. Ideally, a good buffer early in the chain, then a bunch of effectively bypassed pedals (True Bypass or a good buffered bypass) should give you the "best" tone.
Now, players like Buddy Guy and Santana use a long cable because they LIKE the effect of a higher capacitance cable on their tone. Jimi used a coil cable and pedals with very suspect bypass and a lot of people love his tone.

That being said, I bet he didn't have a Fuzz Face, Uni-Vibe, Octavia and Wah all connected and bypassed when he recorded Little Wing and Castles Made of Sand.
In the end, the real answer is, listen and make up your mind what YOU like best for your guitar tone.