From what I can tell no. The Sapphire RX560 4gb GPU card doesn't come with a 6 pin GPU Power cable. I checked several Online Retail sites and none mentions that it comes with a 6 pin GPU Power cable. This is what it shows for that GPU card on Retailers websites:
Your PSU should have one or you may need to purchase a GPU Power cable Adapter to use with your PSU .
Here is a YouTube video showing unpacking a Sapphire RX560 4Gbyte GPU card and has no power cable inside. AMD RX 560 4GB SAPPHIRE PULSE UNBOXING - YouTube
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