The white balance setting, just like contrast, saturation, sharpness, color tone, does not affect the raw data; it is recorded in the raw file as meta data.
There is one difference between these settings, namely that WB will be honoured by all raw processors (even though not with the same result), while the other settings are ignored by most raw processors, except the "native" one, for example DPP.
However, all settings affect the in-camera display (image and histogram), the embedded thumbnail and the embedded JPEG image.