Hello, theoretically yes, practically no.
If you connect the dials via the steering wheel, the sampling rate is probably lower than if you connect it directly to the PC. In other words, it is somewhat less accurate via the steering wheel. But as I said, in practice this should be negligible, since the sampling rate via the steering wheel is also high enough.
I am not aware of any other differences. The advantage of connecting via the steering wheel is that you naturally save a USB port on the PC, which was actually decisive for me because all ports were already occupied. I didn't feel like getting another USB hub.
Greetings