I've never really given this much thought, but I guess it would have an effect. When setting up the radio, I always center ALL sticks when asked to do so - and have never had an issue. I guess if you don't center the throttle, then maybe this may throw things out?
In regards to this part of the setup wizard, I guess that the GCS needs to determine all the end points for the TX, which is why it is asking to center all sticks before progressing. Failure to do so may hinder you arming, particularly when most people set arming for no throttle and either yaw right/left.