Welllllll, the judges like it more when they play - its more for the audience then anything, but it could make a difference in placing the cats in finals to some extent. One judge said when he picks finals, he checks to see if the cat "is on" that day - attentive, playful, etc. If its not, the cat may not get as high a final as it could have gotten "when on".
Some breeds are more into feathers. A rex/oriental/oci would be expected to go after the feather rather then a laid back persian.
And then it depends on how the owners play with the cats at home - we have several different kinds of toys for Charlie - from feathers to shiny strings/balls, to the "bug" on a string. And he is not allowed to just play with them anytime; we get them out and put him on a table to "tease" him like a judge would. He also likes jumping for them from the floor (builds up muscle).
If the cat is allowed to play too much with the toys, he/she will be bored and not show off at the shows.