The only factual answer is the last cable you connect is the most important because without it your system won't work.
I can't really provide any useful advice other than if you have two sets, then put them in one way and listen for several weeks and then swap them around. You'll either notice a difference or you won't. If it doesn't make an obvious different then don't worry about it. If you have to swap them back and forth to form a preference, then it must not make a significant difference.
I think the #1 reason to have an integrated amplifier is that it eliminates a set of cables! I am fortunate to only have one digital connection and one analog connection in my system.