I think that another factor may be something I recently learned about called "the Ikea effect": the idea that a part of the attraction that people have for Ikea furniture, above and beyond the low cost, is that because they're required to assemble it themselves, the owners feel that they've put something of themselves into the furniture.

I can see something like this being a part of the audiophile attraction to these types of components: that every time the owner adds a new set of magic interconnect cables, magic power cables, or whatever, they imaging that they hear an improvement. In the end, they have a lot of themselves invested in their "rig", as they call them, and so find it easy to hear virtues that aren't really there.