They lower the impedance of the power rails, which can be important when the power supply is an unknown distance from the opamp - in a console it could be several meters away. Without those caps the resistance of the wire between the PSU and opamp will make the rails sag when the opamp doing lots of work, like passing loud bass notes. So decoupling caps like that often improve the low end. Its also common practice to have 0.1uF caps in the same place to stop HF oscilation on the power rails.
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