There is no boilerplate answer to this question, it very much depends on things like wire gauge, the actual lengths involved etc. Are we talking a 1m or 5m tall machine?
For the power wires you need to consider the voltage drop over the length of wire which depends on the resistance (and that also contributes to the wire heating). There are calculators online, and the thicker gauge the wire the less resistance - the longer it can be for a specific voltage drop. How much voltage drop is acceptable "depends", too much and your heater wont get to max temperature, or will heat slower. There are maximum recommended currents for specific wire diameters that are related to the self heating effect but you may want to be well below those due to the voltage drop.
Also note that as the wires become thicker, then they become stiffer, and types suitable for continuous flexing like you will see in the connection from the top of the printer down to the effector become significantly more expensive.
There are "data" wire on the smart effector - all the control wires run from the Duet to the SE, so the same considerations about the heater wires apply to the fan power, albeit that the current is lower to they don't need to be as thick.
The temperature sensors are another issue, for two reasons. The increased resistance of the wires could impact the readings, especially if you are using two wire PT100. We have the provision on the Smart Effector and the PT100 daughter board to use 4 wire connections which removes the impact of the wire resistance on the temperature drop. The other issue is noise, with a long run you are more like to pick up noise, that said if you can run the temperature wire away from the stepper wires that will help.