I don’t have an electrical engineering degree that might help inform me as to why things in this quizzical hobby happen as they do but they do occur. There is plenty of anecdotal evidence of such all over this site. Perhaps the mystery is part of the appeal.Its the voltage drop across the fuse. You can hear it and measure it when the fuse is correct in its holder. Its easy to measure. If the fuse is on a circuit board, I find it more expedient to spin the fuse in its contacts until you see a lower voltage drop rather than reversing it.
The variable voltage drop caused by the fuses and fuse holders not being perfectly dimensioned is what has given rise to the idea that they are directional. They aren't (and can't be, if they were they could not be used in AC circuits); its just that sometimes when you reverse them you're getting a better connection. Its really that simple- no mystery and easy prove through measurement. If you want it to remain mysterious though, just don't measure the voltage drop across the fuse :)

