With respect to your first question, to me it depends on what you mean by "moving up the audio chain". If you're moving up to more and more "revealing" components, or perhaps to wires that might emphasize certain parts of the frequency spectrum, particularly the higher frequencies, then yes, what you're describing can happen. Another upgrade path, though, that I now (after having gone the other way) try to follow is to make sure that you can listen to and enjoy most of your music collection with the new components, and I believe that this can be done while still maintaining high sound quality and even improving it. There are components out there that can let you listen to and enjoy lower-resolution sources like internet radio while still letting great recordings shine. I think this is what people are thinking of when they refer to "musical" components.
With respect to your second observation, there are a lot of factors that can cause this, both related to your system (power not quite up to optimum levels, wear of tubes, etc.) and related to you and your mood. With respect to the former, a really good power conditioner or regenerator, or listening to your system late at night when demands on the power grid are lower, can lessen those differences attributable to "dirty" power coming into your home. But I find that my mood and concentration level when listening vary a lot, and that can definitely affect the way I respond to the same recordings.