Housing compression can make the brake response spongier, and slightly reduce your power. It's not very noticeable if your brakes are super weak and spongy to begin with, but if you've got a setup that's capable of being good, it becomes relevant.
At the very least, use a low-compression housing like CGX-SL rather than the really cheap stuff. And it would be a weird place to cheap out; getting great brakes but pairing them with poor housing is a wasteful mix.