Unfortunately, no they don't. We tried calling the tech service last year to see if they would hook up a PS2 for us(we had a RF cable set for the system, instead of the standard A/V one) and the only "service" they offered was a DVD player for $99.00 a day.

So we just connected everything ourselves.
If you want to connect things manually, needlenose pliers or an F connector tool will get around the little baffle hotels put on the cable connector. Can get the F tool thing here:
http://www.hometech.com/tools/coax.html#1003 or probably your local Home Depot or something. I highly recommend the connector tool, simply because it's much easier to get things done with, and near impossible to get that little baffle back on with just pliers anyway.
There was a discussion on the AWA boards about this last year.