No, it doesn't. Adding the control to the page modifies your designer class code by one line (declaring the object). The wizard simply modifies your markup to include all the necessary properties and attributes that you specify.
This is easily verified by just viewing the changes that adding and configuring a datasource control makes to your page and your designer class.
Nothing the wizard does would be any different than what you would do by declaring the control programatically in your code. It's just a convenient GUI way of quickly generating your declarative markup.