Windscreens do indeed affect the sound of microphones.
copied from schoeps site.
In general, when comparing two windscreens which are equally efficient, the smaller one will always have a greater adverse effect on sound quality. If two windscreens are the same size, the one which is more efficient will have the greater adverse influence on sound quality – altering the microphone’s frequency response and (with directional microphones) the polar pattern as well. Thus it is advisable to select a windscreen that is only as efficient as is really necessary, and perhaps to use a larger windscreen rather than a smaller one that has the required degree of efficiency.