The quote below is from a multi-part thread on the Polk Audio Forum entitled "Studies On Residential Power Line Noise - Part 7: HiFi Tuning and Isoclean Fuses".
"Both the HiFi Tuning and Isoclean fuses have arrows on their cases which indicate that they should be oriented in the direction of current (energy) flow. Some people have scoffed and ridiculed the idea of "directional" AC fuses. Rather than something to ridicule, I saw the arrows as indications that there was something going on inside the "fuses" that required a specific orientation. Initially, my ears told me that the fuses sounded better in the direction of the arrows than against it. Noise spectrum measurements with an oscilloscope verified that the line noise was lower in the direction of the arrows than against it."
So, it would appear, at least according to the author that fuse direction does have a measureable bearing on performance.
"Both the HiFi Tuning and Isoclean fuses have arrows on their cases which indicate that they should be oriented in the direction of current (energy) flow. Some people have scoffed and ridiculed the idea of "directional" AC fuses. Rather than something to ridicule, I saw the arrows as indications that there was something going on inside the "fuses" that required a specific orientation. Initially, my ears told me that the fuses sounded better in the direction of the arrows than against it. Noise spectrum measurements with an oscilloscope verified that the line noise was lower in the direction of the arrows than against it."
So, it would appear, at least according to the author that fuse direction does have a measureable bearing on performance.