If one was to worry about the size of the wire inside a fuse, then there are several other things to worry about first:
The size of the wires inside your power transistors and vacuum tubes. The lead wires inside that transistor case are the size of a small hair. The vacuum tube is even worse, no wires at all! You actually have to force electrons to jump across a gap between the conducting parts! Then there is the hundreds of feet of tiny gauge wire in your transformers, and in the speaker voice coils too. How about the wire size in the coils in your phono cartridges?
Oh worry worry worry.

Seriously, the formula for current is voltage divided by resistance. Thus 40V RMS (200 watts output) divided by 8 ohms is 5 amps. You would need a 5 amp fuse to sustain 200 watts RMS continuous power into an 8 ohm load. How much is 200 watts into a speaker voice coil? Well try holding on to a 100 watt light bulb in each hand after they have turned on for a while. Contemplate, while treating your burns, if your speaker voice coils can handle that much heat.
Obviously a 5 amp fuse is too much fuse to protect any but the most inefficient and rugged speaker. We advise starting with the smallest fuse that does not blow often (2 amp for a 2-way design, 3 amp for a 3-way design, and work your way up slowly, but not more than 5 amp with a 200 watt per channel amplifier, otherwise the speaker voice coils will protect the fuse and blow first. Never use slo blow fuses for anything other than the main AC side of a power supply. Their overload time is too great to protect a speaker or the amplifier from accidents or abuse. Note for 4 ohm speakers, the same input voltage yields double the power and current. However, the voice coils still have thermal limits and fusing over 6-7 amps invites speaker distruction.
Finally, in most amplifiers, including ours, there are more fuses inside as a further layer of protection. These are the power supply rail fuses. They actually are in series with the output current flow, just ahead of the output devices to protect against internal failure. These fuses are sized bigger than the external speaker fuses. If you install speaker fuses that are too large, then the internal fuses will blow first. If this happens, you need to take the cover off the amp to find them. Of course some people never read directions, and would rather send a perfectly good working amp all the way back for us to repair, because they never looked for a blown internal fuse or contacted us before shipping.
Does the fuse make a difference sonically. Well, it can. Hafler, in the DH-200 amplifiers, put the speaker fuses inside the feedback loop, to compensate for any errors across the fuse. This was a mistake and they eliminated this "improvement" in the DH-220 model. We could actually measure that the feedback loop was working harder at low frequencies when the fuse was inside the loop to try and eliminate the thermal distortion caused by the fuse. The cure was worse than the cause. Removing the fuse from the feedback loop made the feedback loop do less work, and the overall sound was cleaner.
Don't worry about distortion across a speaker fuse. It is so so far down in the pecking order of priorities of audio limitations that it not worth considering at this point in time.
Regards, and Happy New Year
Frank Van Alstine