Yes as I was typing that I wondered if someone would spot that! The reason I had ferrites on my loudspeaker cables was that these were made well over 15 years ago, when I was designing a new form of switching power amp that, unlike Class D, had extremely low distortion and noise floor modulation. Because the amp employed feedback, I needed to ensure RF noise from the loudspeaker cables did not corrupt the feedback path, so hence the use of ferrites. Moreover, the amps employed inductors, and I had lot's of fun listening and measuring different inductor cores, and applying feedback around the inductors too. It's then that I heard how inductor non-linearity can make a big difference to sound quality and the measurements. Incidentally, power pulse array does not use output inductors at all, so does not suffer from this problem.
Now when I use ferrites in circuits it is not the same as putting a ferrite core around a cable, as in circuit ferrites carry all the current, and they are small, and the saturation current is significant. Ferrites wrapped around a cable is not the same, as they only see the small common mode current, not the current flowing in and the current flowing back. Also the saturation current is a lot higher than soldered ferrite beads. So perhaps my warning on analogue is seriously over playing the issue - and for sure I do not expect interconnects to have downsides to it, as the current flowing is minute.
So how would you know that phase intermodulation distortion (PIM - the nasty side from using in-circuit ferrites and inductors) is an issue? Whenever I have reduced PIM, things sound warmer and smoother, and it sounds a lot like noise floor modulation. There are some similarities - noise floor modulation creates broad noise where all of the audio bandwidth pumps up and down; but PIM tends to broaden out fundamentals; on an FFT you see it as skirts around fundamentals, either as noise or intermodulation products. What is odd, is that both mechanisms, although measuring completely differently, sound very similar.
So if you try ferrites, and it is warmer, softer, smoother, then it is better - even if it is too warm and now sounds "compressed". It isn't compressed, it's just the absence of skirts, intermod, or noise floor modulation; run with it, and find ways of making your system brighter to restore the balance.
PS. I plan to take off the ferrites on the loudspeaker cables and see what they sound like on non-switching amps.