I'm agnostic on fuses and do struggle to see how they might make a difference, though I'm pretty convinced mains cables make a difference so I'm already a fair way down what to many (including Jez) is a highly dubious route. I don't want to re-hash all that, but a couple of thoughts from me:
Firstly, the act of removing and refitting a fuse will likely remove some crud from the connectors, and it's generally accepted that removing and reconnecting interconnects and cables is beneficial for that reason, so I could see that you might extend that argument further upstream to the fuse. And as Mike Reed says, I have my musings on whether the perceived improvements due to mains cables are down to small reductions in the mains impedance, for which a better fuse connection could play a part.
And secondly, provided the fuse blows at the required level of current, perhaps its performance before that point occurs could have a material effect. So, say, if the 'foo' fuse heats less at permissible levels of current (the thinking, I suspect, behind the beeswax stuff) its overall resistance could be lower, and more linear, than a bog-standard fuse passing the same level of current.
There's probably little argument that any such effects would be small, perhaps infinitesimal, and the question then arises whether they would translate into measurable, or audible, differences in the output, but that's an argument we surely don't need to have again here, do we?