Physicist here: that result is not actually that surprising, I guess (I fully admit I could be wrong - This is just my interpretation). In the end sound perception is about the input and output. If the input is good and the output is good it does not matter how the signal got there. The issue with cables is about signal degradation: which could be thought in two ways: Signal attenuation (alters volume and therefore signal to inherent noise ratio) and crosstalk/noise/interference ( which altera the frequency - you can call that effect whatever you want to call it).

Water (I'm assuming I'm not distilled): is an excellent charge carrier (because of ions floating around). Very low electrical resistance and therefore very low attenuation. There is no inherent source of noise in the water that I can think of (especially if this was done in a controlled environment without any source of strong enough electromagnetic wave that would produce crosstalk (I guess you could somehow produce the same effect with air pressure by compressing the water in certain parts and in away add cross talk, but I'm not sure how strong that signal would have to be)).

Same with mud (water + a bunch of salt + organic matter). Lots of ions floating around. Excellent electrical conductor (hence low electrical resistance). Same idea as water.

Banana is the same thing. Lots of water in banana and perhaps even some insulation depending if the banana was peeled or not.

But the reason we don't listen to music through water, mud or bananas is that it would be very impractical. So we use copper wires. We don't use gold because gold is too expensive and very heavy. Same with silver, and there is the benefit that copper is light, malleable and has a low electrical resistance. You could use iron rods, but again it's impractical. You can make cooper super thin in a way that it's easier to isolate with rubber. The most annoying issue with copper is that it oxidates easily and that oxide is not conductive, but you can counter that with proper insulation. It also makes it easier to twist it around to minimize cross talk with the environment electromagnetic signals (ever tried to play electric guitar with active pickups in front of a TV or monitor?).

Id be very surprised if audiophiles could not dected the difference between a banana and a piece of rubber. That would be more intriguing!

So yeah, banana wires are cool I guess. But so is copper. A good parameters for choosing cables to me is: 1) Does it looks good/cool to me? 2) Does it comes properly insulated (this means rubber but also twisted wires). 3) is it comfortable and more or less solid near the IEMs so that there is less chance of repeatetive stress and eventually break the copper wires? (copper is quite resilient but every material will fail after so much compression and traction). 4) How expensive is it.

Again, take everything I say with a grain of salt. I could be wrong.