The answer is basically the same as this one on white balance and raw. You're right, it doesn't matter at all in how the image is recorded or stored.

As you note, the selected color space applies to the preview image and to the histogram. The camera also may make metering decisions intended to avoid clipping (overexposing to the full saturation point) in particular channels, and that may be affected by choice of color space in-camera. I think this is less likely to be a real problem than having the white balance far off might be, though.

But I'd also take a careful look at the preview image in both modes. The rear LCD screen isn't something you can calibrate on most cameras. I think it's more likely that sRGB is correctly represented, and the screen might not cover the Adobe RGB gamut very well. (And really, I'd not be surprised if many cameras don't really handle preview display of Adobe RGB correctly at all — that's a lot more complicated than simply having the mechanism to save in that space.) I'd do some test shots and see which looks most like what your final printed output does, and then use that — that'll make the review screen more useful. It may very well turn out that an accurate display of sRGB is more like your final results than a bad rendition of Adobe RGB (even if you ultimately do use Adobe RGB in the end).