One thing to be aware is that to pass a square wave exactly, theoretically, you'll need an infinite bandwidth. In theory, square wave is a series of odd integer harmonics. Otherwise, rise time won't be as vertical, zero crossing won't be as instantaneous, maxima and minima won't be as flat, and corner won't be as sharp. Realistically, you'll just need a good set of coax and good everything in its path. On the other hand, sine wave will only need to pass the fundamental frequency.
This is something engineers argued over lunch for decades. As far as I know, there is no definite answer. It all "depends". In my own setup, which is quite limited, I try to use good coax, good connectors, and try to minimize random fluctuations. Where I can manage it, I use semi-rigid. For example, I just built Corby's DMTD system. I used semi-rigid for input side. Of course, I will use good flexible coax for external connections, one can argue it wasn't necessary. But it made sense to me to eliminate possible "contamination" of data.
I took apart HP5071A with a bad tube. It had a thick semi-rigid coax connection from OCXO to a doubler module. As it cost a lot of money to do this, I don't think HP/Agilent did this without a reason. (it is a sine wave there, by the way) If you look at most high-end instruments, they do use semi-rigid hardware quite a lot.