When I got my kit (Denon AVR1906 amp, Wharfedale Diamond 9hcp speakers) I had exactly the same question. I tried the amp with the speakers wired direct to it, then wired via the cabling to the wall sockets (there is about 10 meters of cable to the fronts - about half that to the rears) and couldn't tell the difference. I did my own soldering for the socket terminations (it was the first soldering I'd done since school, so by no means an expert!).
Ok, it's not the greatest kit in the world and I probably don't have the best hearing, but neither I or the family can tell the difference, so if a piece of measuring equipment can, I'm not that bothered. It's all relative I guess - compared to the setup I had before, it's leaps and bounds better. I had the same quandry about the acoustics of the room - do I use green glue, double sheets of plaster board etc. etc. If you worry too much about these things, you'll never end up enjoying the kit you've bought and the room you're in