I have noticed osmething like this many times myself- usually when hsopping for new gear. Swappoing components in and out of the system has often made the system sound better. It has nothing to do with keeping the system on vs. shutting it off, because I do not leave the amplifier on, and don't shut the cd or pre off when swapping components. I think it has to do with cleaning off the connectors. I have noticed it more when changing electronics than speakers. Maybe this is becasue the RCAs are more sensitive / scrape themselves clean better.
Why is this getting more skepticism than cryo-treated electrical outlets?