Do the story mode dialogue choices make a difference later in the game?
Solution 1:
While this is by no means definitive, experimentation suggests that no, story dialogue doesn't have any effect; at the most, any effects would be far enough later for the conversation to have been completely forgotten, and aren't overt enough to remind you of the conversation. Labyrinth events will, however, still depend on your choices, just as they do in other series entries.
Judging by this thread on GameFAQs, this lines up with other players' experience, as well:
Pretty sure it's all just fluff. Some of them can be rather entertaining though.