It does make a difference, yes. Not a huge one, but in lower gears you can get more slipping from the tyres amongst other issues, hence most dyno runs are done in 4th gear.
Tbh as Rich said a dyno is only worthwhile as a comparison on one particular day as weather conditions alter readings a lot, and comparing between dynos is pointless. If the car feels right, and the graphs look okay then it's better just to ignore the numbers up to a point.