Yes if you are shooting raw files, selecting a color space or a picture style does not impact the raw file. But your camera body generates a jpg preview file you see on the back screen and/or EVF. And that jpg file data is used to generate the histograms that tell use about the exposure and color levels. So I set my camera body to the AdobeRGB space and use a Neutral picture style. That gives me a good histogram presentation of the underlying raw file and a good jpg preview for starting the post production work. And the best thing, it costs nothing extra on the camera to simply change the colorspace from sRGB to AdobeRGB and select a Neutral or Natural picture style.
http://www.earthboundlight.com/phototips/in-camera-color-space-for-raw-shooters.html
The camera histogram for raw images is based on the embedded jpeg preview image which does honor the color space choice. You can see the difference by shooting two otherwise identical images, varying only the color space choice. The actual embedded jpegs don't contain profiles but the wider gamut possible in Adobe RGB is definitely evident in the resulting histograms. There are programs that can extract the embedded jpeg images on your computer where you can do further comparisons to support this observation.
http://www.earthboundlight.com/phototips/in-camera-color-space-for-raw-shooters.html