If you can't measure a difference, there's no difference. At least, not in what you're measuring.
We have a pretty good idea what's important in sound, but perception is a complicated thing. Of course, if you measure the sound wave, and it's absolutley identical in two instances, it's pretty insane to think there will be an audible difference.
Things can get complicated, though - what kind of trade-off should one make between off-axis response in speakers vs. overall "flatness" of response? But with wires, etc., it's generally pretty simple.
But let's assume there's some bizarre thing we're overlooking about the signal we're measuring. Or magic. Or whatever. The beauty of double-blind listening tests is you can still test for differences due to unknown factors. It's all in the listening!
And a $40,000 CD player is simple insanity, unless it also functions as Great Art or something.
