I've never probed preamp supply voltages while playing an amp to see if the voltage dropped due to power amp current. It would be interesting to find out if any noticeable drop occurs, given how many smoothing stages an amp typically has, and that the preamp pulls very little current from the supply when passing signal. I would guess that there's little sag to the preamp, regardless of what's happening in the power amp.
Anyway, I'm building an amp now that is like what you and Jim are describing; that is, a separate preamp and power amp chassis. The power amp's portion of the power supply is in the power amp chassis, with 2 cables connecting to the preamp chassis: one for power supply voltages, and a second for signal.
I'm using a 6-conductor shielded cable for power, and a 2-conductor shielded cable for signal. The 6-conductor transfers B+, ground, a twisted pair of filament voltage and a twisted pair for the power switch. The 2-conductor transfers the signal from the phase inverter outputs, with the coupling caps in the power amp chassis.
I'm using XLR-type connectors. I'm connecting the shield of one cable to the shell of the connectors at both ends, with the other cable only connecting at one end, as typical of shielded cable. That's because I have the amp's ground isolated from the chassis to allow use of a true ground-lift switch, while keeping the wall cord ground wire attached to the chassis for safety. So the one cable that connects the shield to the connector shell (and therefore the chassis) at both ends is bonding one chassis to the other. The 6-conductor's ground wire simply connects to the isolated ground in the power amp chassis to the isolated ground in the preamp chassis.
I'm keeping the preamp's power supply filter caps and dropping resistors in the preamp chassis, rather than putting all the power supply in one chassis.