Generally speaking, a digital DVI connection is going to be superior to VGA.
However:
Those folks don't have a clue what they're talking about.
The mdp to DVI adapter Apple sells is digital only. It is not analog. It works with a DVI-D cable only. An analog DVI cable will not even plug into their adapter. Check it out at Apple -
here. Look at the middle picture. You'll notice the 4 holes surrounding that long pin are missing... those are required for an analog connection.
As to whether you will see any improvement - that depends on how much of a video snob you happen to be and what sort of things you're watching. The main area you may see some improvement is during fast motion scenes in videos. There are a couple of other areas less noticeable that will depend a lot on the monitor you're using.
My question before you go spending any money whatsoever, what's wrong with the picture now?
I would not suggest to anyone that they spend money to change cables just because...
If you didn't already have them, then I'd say don't get the VGA.
(Also note, guess I'm one of those video snobs as I have not used VGA on any of my personal equipment in over 10 years. I would still say, if you see nothing wrong with the display now, you'll likely be disappointed with any improvement after spending money on a new adapter and cable.)