Which component for the first Synergistic Research Purple fuse

The usual advice is to start upstream. No harm in trying it elsewhere. 

Linestage.

Power amp. That is where I have heard the greatest improvement. Another reason to start there, this will be the largest amperage fuse. So in case you have other components where it will fit you can try it there as well. 

The usual fraidy cats will run around screaming the sky is falling. But it is just to try. If your DAC or preamp threatens to blow a fuse every time you turn it in just maybe you have other things more important to be worried about.

Alternatively, thinking along the same lines, if there's a value and size that could be used in the DAC, server, or line stage, do that, and then you can try and find out for yourself.

Which ever is easiest to access.