I'm figuring it does, whether it's an SF story or not.
Every time we choose a character name, it means something. I was part of a panel discussion about this at BayCon 2008, and the panel agreed that names are often chosen for what they convey subconsciously about a character. This is true whether the names are from English, from other world languages, or even if they are all made up.
Science fiction names are often taken from world languages. The presence of different language groups (like English/Germanic, French/Spanish/Romance, Indian, Chinese, etc.) can imply a lot about the history of the future world featured in the story. Off the top of my head I can think of Aliette de Bodard, Sheila Finch and Mike Flynn who have done interesting things with their naming schemes and also with the twists they've put into the history of their universes.
Okay, so what if all the names are made up?
Making up names is fun, at least for me. When I'm creating a character, a lot of times the name will just leap into my head, but in order to take the world concept just a bit deeper, it's good to consider these in a language context. Are these names pronounceable in English? Are they pronounceable by anyone? And to push the level a little further, do they form part of a unified system?
Here's my own experience with finding an underlying language system.
I had this great mega-fantasy story and I had made up scads and scads of names for it before I suddenly decided I wanted my world to be a bit more principled. So I tried to figure out what "language" the different names might have come from, and I found the names falling into three or four categories as far as the types of sounds that occurred in them. Some sounded like English-pronounceable names, while others were more like Spanish-pronounceable names, or French-pronounceable names. I asked myself, "Do I want to have this be a single-language world?" The answer for me was that I wanted everyone in the immediate area to speak the same language, but I remembered that names in almost every country tend to keep the forms of older contributing languages - and I really liked the idea of this country having older contributing languages. So I took the few names that "were not like the others" and regularized them to one of the four main sound systems. And that gave me a place to go with the world's history and backstory, i.e. that there had once been people from four different language groups that populated the area.
Which is the long way of saying that if you think about your names for people, and names for things, as part of a language system, you can inadvertently give yourself a much deeper world concept and open up possibilities for history and demographic changes in your world.