I linked a post above from Terry explaining this. Terry is the man making the JB4.
It's pretty simple: without the OBDII cable attached, the JB4 has less information at runtime to work with than with the OBDII cable attached. It can function fine without it, but having additional data means it can make better decisions in real time about what adjustments to make for smoother running and better performance given the conditions at that moment in the car it is attached to. The JB4 likely operates, as it should for the safety of your engine, slightly more conservatively without access to the additional data. Or to look at it the other way around, it can operate more aggressively if it has more data to base decisions on.
The cable is a pain to route, but it is a one-time thing that shouldn't take more than an hour or so to do. If you aren't mechanically inclined or don't want to spend the time on it, then just don't and run without it.
If you are hung up on wanting to ensure you get the exact gains that Burger achieved in their tests, then you are looking at it wrong. Car tuning and horsepower gains are very fuzzy things. The test results of any tuning are so dependent on the exact car, including any mods already on the car, in the exact conditions it was tested in, using the same fuel it was tested with, etc. Connect the cable or don't. You will see some gains either way. Enjoy what you get and have fun with your car.