They certainly do....this is a breakdown of what each penalty slider does from the Opening Post of my slider set.
Penalties
False start: Higher settings give O-line a faster jump at the snap. I recommend setting this about 20 points higher than your offsides setting.
Offsides: Higher settings give d-linemen a faster jump and greater block-shedding abilities. I do NOT recommend setting this high as it completely unbalances the line play.
Holding: Higher settings causes more holding animations to occur (mainly on pass blocking) - this can assist in improving blocking. At values above 65, you will start to see some suction blocking, so tread carefully.
Facemask: Higher settings will result in bigger hits on tackles and more fumbles, but also more broken tackles. Lower settings will result in more wrap-up tackles but fewer fumbles. If you go too low, every tackle will look like a 'bear hug'.
OPI: The higher it is, the more likely the receiver is to dive for a catch or run through a catch (if it is too high though, they will just run through virtually everything). If it is at a low setting, receivers will do anything they can to make the "safe" catch (they will almost never leave their feet, jump for a ball, etc.).
DPI: The lower it is, the more the CPU seems to go for deflections (in conjunction with the PCV slider). If it is super high, they will rarely go for deflections (unless you use a high PCV). If it is super low, they will literally stop covering receivers to try for the deflection. Also, if it is too far below OPI, there will be too much separation between receivers and DBs.
PCI: The higher this is, the more quickly defenders react to a play. Set it too high and mis-direction plays (like read option plays, jet sweeps, etc.) become too powerful.
IG: Affects QB AI. See my IG thread for further details.
RTP: Low settings make the pass rush more aggressive while high settings reduce their effectiveness. However, it appears that CPU QBs get rid of the ball more quickly at low settings. It's a bit of a balancing act but this is an effective way of adjusting pass rush effectiveness without changing any other sliders.
RTK: Set it low and defenders will attack and react to everything. Set it high, and they will read more. This plays in conjunction with the PCI and TAK sliders.