Yes it does. Apparently its due to closer contact of the neck wood to the body of the guitar, which reduces sound loss or something. But its debatable I guess. Many factors affect it. On average most set neck guitars tend to have longer sustain than bolt ons though. (LPs for example...) But then again, different wood, pickups, string height, neck bending, etc. all also affect the sustain of the guitar somehow or other... best is to test it out and compare