Welcome to Flyertalk.
Yes it matters a lot, as different airlines even within * alliance have different rules for earning miles and status, how long status is valid, how the miles can be used for awards on that airline's flights or on other *alliance partner flights.
Which *alliance airline are you likely to travel the most on? How many miles do you think you will accumulate during the course of a year? May be if you give us some pointers, we will be able to help you decide