I have absolutely no idea how audiophile fuses "work," but long personal experience with them tells me emphatically that they do. With one recent exception, I have not blown a fuse in a piece of audio equipment in over forty years, which takes us to the bad old days of amplifier output fuses when, back in my high school and college days, we most often "repaired" the fuse with a bit of aluminum foil just to keep the party going.
Since then, I have never had a piece if audio gear fail due to a faulty fuse. I have never had catastrophic damage from lightning either, but I use Shunyata Venom Defenders to minimize that possibility, though living in the SF Bay Area, an earthquake is more likely to take me out than a lightning strike. The last and only fuse that failed on me was a Synergistic Research Red Fuse of factory rating installed in a well designed music server at start-up. An uprated replacement served me well until I upgraded it to an SR Black Fuse of the same uprated value a few weeks back. And yes, the Black sounded much better than the Red.
All of us are different in myriad ways, having, for example, different risk profiles and degree of need for objective certainty versus, perhaps, trust in subjective experience. For product liability reasons, I would never expect a manufacturer to approve my use of non-UL rated audiophile fuses so I have never asked. I accept the slight risk that
some tweak I might employ in my continual quest to get just a little bit closer to the original performance encoded in my beloved recordings
might lead to component damage. Having said that, I do have my limits: I'm not likely to buy a rechargeable hover-board any time soon either.