I think the $39 issue is a strawman. If the darn thing cost $100 bucks and improved the sound I'd buy it. And as a practical matter many of us will try it, what the heck. In fact I have tried it. If it improves the power to the system, improves noise/ripple, great. That is an explanation of why it should make a difference, though we may be in a hobby where not everything has an explanation.
On the other hand, when I speak to three well known and very respected, long-time designers of highend amps and preamps, and all EEs by the way, and to say the least they are very dubious of the whole fuse concept making a difference, then I got to believe they don't know what they are talking about, or they are deaf -- the equipment they make suggests neither is the case. Which of course did not stop me from trying them:)