I don’t know how to make a good sounding fuse, but I have discovered that a cracked fuse holder can make most any fuse sound bad.
If a system is intended to be used at a level well below its capabilities to deal with current, then it makes building the fuse easier, it would seem. The fuse can be set to pop at a much, much higher current level than any normal listening session would produce. So the fuses internal resistance and any audible compression effects from the fuse beginning to heat can be minimized. I used to have some piezo compression drivers that had little light bulbs in them that acted as fuses of sorts. Instead of blowing, they would take to glowing, which would effectively compress the output to the tweeter. This is fine for a PA system but probably not acceptable to most HiFi enthusiasts.