andy2,
You are right but, from some marketing perspective, creating a story around a subject is desirable, too. Adding some sort of mystique is probably always positive in marketing terms. Expensive cables, whatever "expensive" is at that moment, are not aimed for majority of people. Majority would agree with your statements. Fancy cables are aiming at small group with its own ideas and personalities. Just read how stubborn both sides on cable threads are. That group needs more of a story than just "it is great". Call it a "marketing psychology" or something like that. Make it seem like they have to work for it. Restaurants with long waiting lists (weeks and so on) have been using that kind of approach for the longest time.
It is not to say that burn-in does or does not exist. It is just why it would be a good thing for a manufacturer to talk about it. Not to mention that, in case cable does not sound phenomenal, they can always say "they need a really long break-in, months".