It does come into play, when you set the gains using a dmm you are setting the amplifier to put out a certain amount of volts of alternating current, you find the amount of volts, by looking at the amps rated power output at a certain impedance level. However once you start playing your sine wave to set the gain with the dmm you immediately have impedance rise. For example lets say you are setting the gain on an amp that puts out 1000 watts at 1 ohm that is hooked up to two dual 4 ohm subwoofers. Lets say the woofers are wired down to 1 ohm on the amp. 1x 1000 =1000 and the square root of 1000 is 31.6. So you should look for 31.6 volts of alternating current on your dmm for the amp to be putting out 1000 watts at 1 ohm like it is rated to do so. Once you start playing your sine wave your amplifier is going to be seeing above 1 ohm due to impedance rise, if you then turn the gain and set it so its putting out 31.6 volts of alternating current your amp is going to be far into clipping. Also you run into the problem of amps not doing what they are rated to do, and not knowing the supply voltage to the amplifier.
The only sure way to set your gain is with an o scope