That has been called the "smoke test". Replacing a blown fuse with a much higher value will often result in the defective part going up in smoke, however it may take other parts with it.
Well you could do it. It may sound better. But the downside is no protection at all. IMO plenty of the aftermarket fuse improvement is really an oversize fuse element. They just do not mention that part of it.
The only place I would risk it is in the amp. Speaker fuses especially. The damage is done by the time it blows anyway, so I hear. I've not blown an amp fuse in 35 years and done lots of experiments. I would not mess with stuff further up the chain, though.
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