Since the scale is in actual units, if you change the scene scale, renders will appear different accordingly, yes.
Intuitively, it makes sense that, if your scene is supposed to represent a km² of land, you might want to work in a different scene scale than if it represents a single small room or even a slide under a microscope.
Diffuse and reflective materials, of course, behave precisely the same, as these are mere surface effects. But anything to do with volumes (including SSS) is gonna change quite drastically if you look at a tiny bit of it or something huge.