If a cable is properly built and shielded, no, you are just transfering the medium through a different final stage connector. Possibility of voltage-loss (pre-gain volume), yes, but I can't imagine distortion gains.
In terms of the cable itself, cables are made of copper wires with the ends twisted to connect to a standard of sorts (1/8" stereo, 1/4" phono, RCA, etc). Buying Monster Cable or some cheaper brand, if both are competently designed, should make 0 audible difference. We are talking about electronics here, and the basic laws they follow are Physics 101 RCL, and they are built using this theory. The Monster has nicer build quality (the externals) and made to look nice. This is generally true of all electronics (for example, on a $1000 receiver nearly 80% of the build cost is on the case, not any of the electronic parts).
To get a general understanding of this, all you need to do is look at the DIY (Do it yourself) market. Unbuilt (and caseless) kits, for speakers, subwoofers, amplifiers, generally cost around 20-30% of the same parts merely pre-assembled and put into a case. Most of your $$, will go into build quality, not measurable performance gain. You will find this to be true for almost everything in eletronics--speakers, subwoofers, amplifiers, computers.
So, to answer your question, the converter should make no audible changes. For you to hear audible changes based on minor voltage differences would be pretty surprising; at most it would be a minor volume loss. Buy Monster if the packaging is worth it to you. Don't buy it if you think you are going to gain sound quality based on cables. Inside your speakers and in the electronics paths are hundreds of yards of thin copper wires (something like 22 guage). If anything, that would hold you back, not the difference between same-thickness cables with slightly more and less shielding from different companies.
BTW, a digital coaxial cable is just a 75-ohm Video RCA cable. You get them with any video game console : P (they are pretty cheap to produce).
If you want to experience the difference between digital and analog, be my guest. The only thing I would say myself currently is, 1) you won't hear a difference and 2) you definitely won't hear a difference with the equipment you are using. If you are willing to spend money and aren't afraid of trying new things, entry level-hifi is far more satisfying that computer speakers.
The experience of me and my friends (who long went through this upgrade process, we started with cheap 4.1 sets like Altec Lansing ATP5, then Logitech Z-560, then Logitech Z-680, Klipsch 5.1 Ultra)...after buying and selling off these sets, years and years later (I'm 20), we all realized we mostly listened to stereo, and all these cute and shiny satellites weren't very useful, and (we're all pretty good gamers) were seeing how the marketting wasn't really getting to us. Personally we all felt we could game just as good with stereo headphones as a surround 5.1 set (I was always a strategy guy, but some of my friends were damn good CS players, even going to CPL). So we all made the natural progression (seeing as how our tiny speakers always sounded so bad compared to our parent's HT systems (thank god our parents bought real HT speakers instead of crappy HTIB satellites), we moved on to bookshelves and floorstanders. It was a real revelation. I'm still trying to convince people who haven't went through a flurry of crappy PC speakers to enjoy what real linearity, dispersion, distortion-free, and extension means, but I realize most people end up making the same mistakes and don't want to listen anyway.
I also realized now when I was growing up, I kept hearing people say "you should get real speakers, like bookshelves." They weren't very helpful and didn't explain what it was really about, but know I realize it was for the better. I eventually went out and read about "real" speakers. Basically what I'm saying is, everyone makes the same mistakes, although a few do (as I did) EVENTUALLY get the message. Some 50-year olds are still stuck thinking the 2" one-way speakers they have are the best thing ever built, which although doesn't mind me one bit, come onto forums like this and proclaim it as if it were fact. This does bother me. Either 1) they haven't been exposed to quality and don't believe it can get much better then how they have it or 2) they have buyer's remorse and are just trying to screw other people (see Bose owners). In that case, it REALLY bothers me to see this kind of misinformation.
Anyways, me and my friends just realized our tastes earlier. We listen to mp3s and watch stereo sources 99% of the time. So for the cost of a Klipsch 5.1 Ultra, we got damn good bookshelf stereo speakers and an amp. Works great for us, who knows, maybe someone else will read this and realize it is for them too.