Thick cables often have a lot of filler in them as distance between wires and shields reduce capacitance, so there is motivation to make shielded cables very thick even if the signal wire is very thin. Speaker cables are often oversized for no good reason, mostly so the manufacturer doesn't have to offer multiple gauges, they just sell you an overkill cable that'll work fine on low impedance high power speakers even if you have a high efficiency speaker and SET amp. People just don't know better in most cases.
That said you're mostly right, people pay a lot for premium cables and ignore substandard wire and connectors in their components. There is basically the equivalent of a cable in a component, and it matters as much as external cables. I always encourage people to upgrade wiring and connectors inside their components as well as upgrading cabling. If you use high quality parts from power to speaker driver it will make massive differences that are hard to overstate. This might include upgrading some capacitors and resistors in the signal path as well.
