Digital to analog conversion is a complicated process that can be implemented in different ways. Aside from the D/A chip itself (e.g., Burr-Brown, TI, whoever...) there is analog circuitry involved, among other things. The DAC that is implemented in your preamp/receiver may have a different sound than the one that's implemented in mine. I've definitely heard differences in a level-matched system (although not blind). The differences are subtle, but present.
There are people (and I'm not trying to say or imply that fmw or TLS Guy are those "people") that will say all electronics are the same, and there are those that will say there are huge differences in cables -- I could generalize and say that these groups are at opposite ends of the spectrum. It's my opinion that the truth is somewhere in between. Electronic devices (preamps, DACs, etc.) are made up of various electronic components, and use topologies designed by humans. Some electronic components (resistors, capacitors, DAC chips, etc.) are good and some are less good (tolerances, voltage ranges, noise, etc., are all spec'd for their relevant components). Of course, humans also have an ability to screw things up sometimes, as well. Naturally, it follows that although an electronic device is going to sound very similar to another (assuming it's doing its job correctly) there are clear differences in design and construction that could lead to audible differences. So, yeah, some things will sound better than others.
However, I think your original question was this -- "Since I'm using an all-digital system, why do I care about digital to analog conversion, and therefore, why do I care about DACs?" fmw answered correctly, but I'll elaborate. Although all your input signals are digital, and everything is processed in the digital domain, it's ultimately an analog signal that's sent to your speakers; it has to be, as the speaker is an analog device. At some point in the chain, your digital signals will be converted to analog, amplified, and then sent to the speaker. Since that digital to analog conversion step is required, yeah, it's important to have a decent DAC. That said, most people won't care and won't be able to hear the difference unless they're really interested in it and looking (listening) for it.