trelja - the fuses in a speaker are going to be operating with a valiable voltage depending on the volume, so they will, as I suggested in my post above, be skirting very close to their blow point at times and will therefore be prone to dissipating some heat, so I would expect some voltage drop and a notable difference in the sound - the increased heat and resistance will throttle the current available to the speaker and this is likely what you can hear.
However, the fuse in a power supply or on the supply rail of an amplifier is not exposed to such variation - it’s handling a DC supply, rather than an AC signal. Let's leave fuses in your AC 120v / 220v supply aside for now.
There is a big difference between the behavior of supply current and signal current and fuses will behave differently with each.
I thought your tweeter story was fascinating, but I would doubt whether the expensive fuse would sound better than the regular fuse - however I can see why no fuse would sound the best!