Will it make a difference if I solder or use the supplied SMA type connector to connect the wires of Active GPS antenna on PCBA?
I would definitely recommend a connector.
If your antenna should break down or you want to use another one, it would be much easier to replace it. Repeated soldering would also cause the PCB to suffer.
Electrically it is also better to use a connector.
Besides all that, your hardware will look more professional if you use a connector.
--edit: Assuming the connector solution and the soldering solution are both perfect, I would say both are electrically equal. I was thinking of the thermo-mechanical stress for the solder joint which could lead to cracks and later to a higher contact resistance. However, since one could now assume that the electrical connection would be equally good, the advantages of the connector solution speaks for itself.
--edit2: I want to add the input of JRE: Using an connector ensures a defined impedance whereas a solder connection would have an undefined impedance which may lead to unexpected problems.