They come from the same place conspiracy theorists come from, despite all the mocking that they receive.
Certain people crave importance. Delusions of grandeur grant their victims a feeling of importance, typically through making them feel like they're part of some hidden truth that others are just too stubborn or ungifted enough to see or understand. By imagining themselves to be part of a small elite burdened with a difficult truth, the delusional elevate their own self-importance.
In reality, they're just empty and unhappy people bored with life or unable to come to grips with the fact that ultimately most everything we do is meaningless. They desperately need to feel like they are part of something bigger and more enduring than themselves - that they're special, and in so being are tasked with being a champion for some greater cause that will be their legacy.
For some, this takes the form of conspiracy theory, seeking to free the world from the evil machinations of "the Government" or "the aliens" or "the Russians" or whatever. For others, it takes subtler forms - such as seeking to preserve the beauty of music, by upholding the secrets to "true" music enjoyment. They equate their "pristine" listening experience with the preservation of the sanctity of music itself. They are the lonely defenders of good musical taste - burdened with knowing a "truth" that the rest of the world refuses to recognize.