If I was using my iron on a daily basis, I probably would. Also, even though I've seen someone replacing the PVC cable with a PTFE one, there's always the chance to ruin the iron. Also, to replace the cable, I'd need... an iron!
My dad did tell me he had a length of PTFE cable lying around I could have, but it was only 2 conductors, and I'm pretty sure mine needs 3 for the thermocouple.