Hello. Fuses and other surge protections can't affect the sound if the circuits are designed properly. For another forumer, you can't simply "take the things out and hear what changed". You need to have a second set running, setted up at the exact same level with the dis-surged version, and, naturally, the other "surged set". You need the exact music, played at the same time on each set, the set need to be hidden and a friend of you will switch between the two without you knowing which set is who ? Don't forget that our memory of sounds is only accurate with 100% under 15 seconds, it drops rapidly after that (source : american journal of audiology).
But, as the previous poster already said, there is nothing that can be worsened by an additionnal surge protection in the electricity path. Don't forget that the current is transformed in your amp. And I never heard or read anything about a surge protection emitting noises.