Paying thousands of dollars for a fuse is pure insanity, regardless of whether they make a sonic difference or not. However, if they contain quantum tunneled dark matter and antimuon alloy, then it's totally worth it.
How is it any different than spending $50-100K on a DAC or AMP? It is all relative to a degree. If I can improve the sound of my system due to the tiny little fuse that costs $2k, then maybe it is a good investment vs shelling out 5-10 times that for a new Amp.