Does the white balance setting impact raw files?

Back in the D1 days, yes, there was a very direct impact of white balance on raw data. 

Today, however, there is only an indirect impact (due to white balance preconditioning of the red and blue channel data by EXPEED). Remember, the histogram and highlight displays on your camera are calculated from the embedded JPEG image, not the raw data. Thus, if you set a wrong white balance and evaluate exposure via the histogram or highlight display, you'll be getting erroneous information and may set a wrong white balance. 

A wrong exposure means you're not optimizing your raw data. This is one of those things that have led some extremely serious users to use something called UniWB.

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