Does your response to being denounced have an effect? If so, what effect?
- You'll pay for this
- Very well
Does this change between Vanilla, G&K, and BNW (in over-all effect or minor adjustments)?
These have no effect, its just a flavor/role playing choice.
I always thought it was based on their "Anger" level with you. You can see it in the right hand nav under the world icon. You can also see this based on the history notes under the respective countries. If there is a lot of red text like, "You angered X country," "They caught you spying," or "You denounced them," it means they'll probably say "You'll pay for this" vs "Very well."