Surely somebody in this forum should have enough physics/engineering background to tell us whether this is likely to be true from first principles. Indeed, I haven't the foggiest idea how the touch screen works (for instance, do our fingers interact with the screen at only mechanical level or is the some sort of electrical interaction as well?).
At a rough guess, since the touch screen in the iPhone is capacititive, i.e. it works out where it's being touched from the change in capacitance when the body's electric field comes into contact with the screen... (I'm not convinced I'm 100% correct here, but I reckon I've got the basics, so bear with me...)
So long as the electric field of your finger can penetrate the screen protector, that's fine, the "touch" gets through to the screen. However, if the screen protector has a non-constant conductivity, it could produce areas that are more or less sensitive than others. This is very likely to happen, since I doubt most screen protectors are exactly uniform in thickness and density.
Overall, probably happens, but I couldn't tell you whether it would be noticeable or not.