This is one of those cases where it's good to know a bit of electrical engineering.
If an adapter, connector, cable, etc. is both "passive" (i.e. isn't doing anything clever in there with ICs that consume some of the power sent along the line) and "digital" (i.e. has transmission semantics which moot RF interference as long as the cable is within a proscribed length and between powered switches) then it doesn't matter whether you pay $0.70 or $70 for it. For example, an HDMI cable is an HDMI cable is an HDMI cable.
If an adapter/cable/etc. is "digital" but "active"—like, for example, a USB-C to Thunderbolt adapter—then it might do the wrong thing, which in extreme cases (e.g. the https://www.usbkill.com) can damage your devices. But, most data-transmission PHY layers (Ethernet, USB, FireWire, Thunderbolt, etc.) are built to protect host devices against most "dumb mistakes" that might be made by a peer device or a piece of infrastructure (and things like lightning strikes, shorted sockets, and chewed-through cables besides.) You really have to intentionally try to make a USB Killer to make a USB Killer.
Now, if (at least one end of) an adapter is analogue, then you're basically screwed and should be very scared of cheap kit. Basically, don't trust $0.70 DACs. There's a reason there's no such thing as a $0.70 USB audio or USB wi-fi receiver: these are the sort of things where the correctness of the DAC is all that stands between your computer and a huge current.