Won't this help prevent (or perhaps just minimize) your getting shocked from polarity discrepancies between amps, etc., from which your amp's fuse will not? Of course, only when holding your strings and touching the other mic, guitar, whatever. I've never tried it, but it sounded like a reasonable idea to me. I just fixed my amp's ground instead.
In the first place, your amp's fuse has nothing to do with protecting you from getting shocked. It's for shutting down the amp when something goes wrong with the amp itself, and is there to stop the amp from doing more damage to itself. (Maybe I misread what you posted?)
In the second place, I never really understood the logic. The cap values I have seen recommended for this practice are so low that they are an open circuit for everything but very high frequencies. What does that do?