As a trumpet player, much of what I hear comes from the wrong side of the instrument. Our playing qualities are developed by learning to factor what we really hear to what we think our audience expects. A grin from the conductor is generally a sign that this is in the right direction. So deception of our hearing senses is a big factor when playing real time.
As a conductor, we have to be ahead of our time in anticipation of what the musicians in front of us are going to do. This also means by the time that we have heard something, it is too late to react. Because of this function, we really aren't listening to enjoy or sonically analyse - we are listening to see if what we think that we are conducting is really being played!
A very big problem from both of the above situations is that our perspective from the podium or seat in the orchestra has nothing to do with audio geometry. The characteristics of the instruments are also not as consistent as in a recording. The brass section around me is very direct, other instruments are playing in a direction not faced toward me, with a lot of ambience.
One very big problem for me with audio in general is that many instruments with the highest frequencies (violins, flutes, percussion) have strong reflections from the ceiling. Forward facing tweeters do not recreate this effect. I have often thought that the finest stereo must also recreate this "vertical" space. This is not height of image, it is a different geometry about where what sound comes from.
Speakers that "image" perfectly are also a great source of distraction as even on stage, NOTHING is that pinpoint accurate.
So, I agree with Romy that musicians have no innate advantage or inner track to the truth. Expensive audio is only a term for those that talk about the "how" instead of the "what".
Whenever I feel blue, I start breathing again.
I play trumpet professionally, I conduct semi professionally. Neither of those two characteristics helps me with (expensive or any other) audio. Actually they are in fact more in the way.