I think I really love buss wire. You don't have to strip it and, if you do it right, you can use it for every connection from 2.1mm power to 3pdt to input and output jack. Plus if you're canny, rather than the barely-there wire aesthetic, you can get a Smooth-Lines-Of-Audio look.
That and heatshrink. Place your LED carefully, and you can just have the LED, the 4k7 CLR, and heatshrink over the ground LED lead. No stripping needed.
I've always assumed bare bus wire would lead to noise issues, but I've never tested the theory. Seen any issues doing this in high-gain pedals?
Insulation doesn't shield normal wire like shielded does, so as long as you don't use buss wire instead of shielded, there's not much difference noise-wise as far as I can tell.
As for high gain -- sometimes shielded is needed, yes, but I've found that a lot of the time you'll be fine with normal stuff (or buss) as long as you're careful with your wire dressing :) (which appeals to me -- I don't like working with shielded wire; too messy and fiddly.)
The bigger problem, over time, could be reliability. One of the nice things about flexible wire is that it can withstand things moving around a bit.