I think it only really matters with regards to media markets, and even then it's only relevant for a candidate who has held statewide office- so voters are familiar with them from previous campaign ads and state news coverage and such.
See, for example, Obama's Iowa caucus performance in the counties that bordered Illinois.
On the other hand, Hillary won all of the Indiana border counties, except for Lake County where Obama had an unimpressive 13 point victory. The Gary area should have been landslide Obama.
True, but unlike Iowa, only five Indiana counties in the northwest corner of the state are in an Illinois-based designated market area. The rest of the state watches Indiana-based TV stations.
Granted, I have no idea why Obama didn't do better in Gary- but that's just proof that being from a neighboring state doesn't really matter
too much at all.