Yes it does affect my choice.
As powerlifters and bodybuilders we get enough (too much) of it anyway, so there's no reason to pump our body's full of it. Of course the cholesterol in the food is not the same as the cholesterol in the blood and they don't allways go hand in hand, but at some point when you get too much of it, it starts to be a problem. As a rule of thumb, don't buy protein powders that don't tell the amount of cholesterol per serving and stay away from ones that have more than 200 mg per serving (unless it's not a "pure" protein powder and has a ton of good fats too)...