It rounds off the top end a little, like a guitar cable would. Since these are low impedance the cable length is pretty much null.
Many people don't like "guitar cable". Expensive cables are usually attempting to sound like they aren't there. In other words if you could play with a 3' cord, you'd probably think it sounded better than a 30' cord, right? So that little blue wire is for all the guys who think a longer cable sounds sweeter and prefer it. I'd wire it up stock first, then add the HF tilt if you want. You could also hook it up to a switch, though it's pretty subtle.
