Right now, no. Changing them out won't have any affect. The power consumption and heat aren't in the game yet.
Star Citizen
I thought they had an effect on EM/IM detection ranges (ie: stealth gameplay), but after looking around it seems those mechanics have been broken since 3.11?
I knew that component stats were all normalized a while back but I had no idea that affected IR + EM emission data.
Bumer
For the most part right now, the only difference between power plants or coolers is the amount of power/cooling they provide, and as long as you're providing enough for the rest of the build, having excess doesn't help. Most of the time, the stock power plant and coolers are fine. But some ships like the 350r for example, are pushing the stock power plant to it's limit with the stock configuration, so if you replace the ballistic weapon with laser, the power needs are suddenly too much and you'll need to upgrade the power plant. This website: https://www.erkul.games/live/calculator will show you whether you need to upgrade the power plant or coolers. If you do need to upgrade the power plant or coolers, Military Grade A is a popular choice since it's high performance and has high component HP, and it doesn't have a lot of downsides like it used to when stealth was a factor.
I've also noticed that seeing the power to "stealth" reduces the overall power available to some fraction of what the power plant provides, sometimes reducing a bit to low... I haven't tried it, but i would expect a better power supply to be able to be used in stealth mode (reducing power signature) all the time.
I don't know how much it has an effect on stealth, but it's worth noting!
Also, stealth power supply can power up faster: you can fly "in the dark" until the moment to strike!
Have you tested lately with a friend to see if your detectible range changes when you click the stealth button? I was told that button doesn't really do anything anymore but haven't tested it in a long time. That's good to know about the stealth power supplies powering up faster. I hadn't thought about powering the whole ship down to be more stealthy and then powering back up quickly to strike. That's a cool idea. I was thinking about getting a Razor EX or something for those times I want to scout a pvp area without being detected, so I'll consider that when upgrading the components.
You can actually see how detectable you are if you go into your Game Settings, scroll all the way to the bottom, and enable "Emissions HUD - Display Signature Values"
It doesn't tell you the exact distance you're detectable from (since this can depend on the sensors/sensitivity of the ship trying to detect you). But you should be able to tell if it makes a difference or not.
Currently there is not much need to change coolers as even the lowest of coolers have enough cooling power for all components; and in fact don't cool down Weapons.
Powerplants are only need in upgrade when you have issues keeping everything online (Engines, Shields and Pew Pew) at the same time.
I can't wait for the day when the weapons, shields, powerplants and coolers have their own characteristics back and that it makes sense to move away from stock.
Quantum Drives though are really important, especially in ships that have limited Quantum Fuel Tanks (Small and smaller ships) where you have to weigh a Quantum Drives reach against speed. A speedy Quantum Drive guzzles up your Tank and you need to do take more Stops or you take a slower one but that one gets you there in one-stop.
That situation could also be interesting once we have bigger Systems like Pyro online where you won't have a Space station at any Lagrange Point.