It most definitely does matter. If your ticket is, e.g., JFK-AMS-CDG-SGN (origin and final destination outside of the EU) that the airline and intermediate connecting airports are EU is irrelevant: EC261 does not apply (at least as far as compensation is concerned). If there were a delay on AMS-CDG which caused you to miss CDG-SGN and your seatmate to miss CDG-MRU (as part of their AMS-CDG-MRU itinerary) you would not get compensation while your seatmate would.