Noise in the high kHz or RF frequency regimes can cause amplifier stages ( particularly solid state ones) to become unstable or saturate, and even though you can't hear the noise because it's above the range of human hearing, you can hear that said noise is causing gain stages in your gear to deviate from linearity. So, yes, even though you can't hear it, intrusion of EMI above the range of hearing can have deleterious effects on what you are listening to.
That said, any decent audio gear will shield the circuits from free-air ingress of ordinary levels of these signals, and the power supply in any decent gear will clean anything that gets transmitted through the power line. So one should not need any kind of outboard AC line filters or magical line cords.
HOWEVER - I know for a fact that noise signals in the environment can cause problems in audio equipment - I had an old NAD 7240 playing background music in my workshop, and I was testing a 2 meter (144 MHz) RF amplifier for use in amateur radio. I had the 400 watt 2 meter RF amplifier on my workbench connected to an appropriate Bird RF VHF dummy load and I switched the amplifier on to measure it's power output with a Bird RF power meter - as soon as I switched the RF amp on, the sound from the CD being played through the NAD 7240 got horribly distorted for just a second, then there was a POP through the speakers and then there was nothing coming out of the speakers. This all happened in less than a second. Of course I immediately turned off the RF amplifier, but by then it was too late- the output transistors in the NAD 7240 had opened up. The 144 MHz signal had got in to the amplifier stage and caused this failure. Now, this is an extreme case - there was a STRONG RF field in my workshop, which was probably picked up by the ~3 M of 14 AWG speaker cabling and delivered into the NAD. This won't happen in your listening room unless you are really near a fairly powerful operating transmitter - amateur radio or commercial broadcaster - but it demonstrates that not EVERY kind of EM interference is of no consequence to an audio system.
But - hahahaha - magic line cords and / or power conditioner boxes would not have prevented the death of my old NAD 7240. I doubt that shielded speaker cables would have helped either, as the voice coils of the speakers themselves would have likely coupled enough of this EMI into the NAD to drive it crazy.
POOF! It lasted 30 years of college, apartments, houses, parties, and workshop background music but that 144 MHz field was too much for it. But, as consolation, I got a documented incident of EMI having an impact on audio gear....