As Garage Sale, yes it's true. There's a bit of axle compression when QRs are closed, but that only applies to QR hubs. Nutted hub axles don't undergo changes when tightened into the bike.
There's a more important consideration. If the dropouts are not perfectly parallel, they'll cause the axle to bow slightly when the hub is installed, possibly binding slightly tight bearings.
In any case, it's difficult to get a perfect cone adjustment off the bike because it's hard to get a good feel when checking for play at the axle. It's easier to detect play at the rim when the wheel is installed, and I'm a fan of those hubs (like Campy) that allow final adjustment while the wheel is installed.
I use what I call the Goldilocks rule when setting hub cones. Checking for play at the rim, if I'm sure there's play, it's too loose, if I'm sure there's zero play it's too tight, and if I think there might be play, but I'm not sure if it's spoke deflection or my imagination, that's just right.
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