The WB selection does not affect the
raw data, but it does affect the embedded JPEGs, which are the preview and the thumbnail. A consequence of this effect is, that the WB selection influences the histogram displayed in-camera and the clipping indication, for they are based on the preview JPEG.
Extreme example: if you are shooting in bright daylight and select "incandescant", the histogram may not show any problem, nor does the clipping indication, but the green channels may be horrendeously clipped.
See the related thread
Matching RGB histogram with captured RAW data