I've been told that's not such a big deal. Anything that connects to mains has isolation. After all, it's not uncommon that line and neutral are swapped in your outlet -- no big deal to the AC circuit, but if you interconnect two devices that assume their neutrals are the same, and they're not, that would be a direct short. So, there will be a transformer in-line, which means the circuit ground is floating relative to the house wiring. As I understand it, this is part of why the ground lead is necessary between two devices -- otherwise, there's no guarantee they'll be at the same potential, and the reference will accordingly be offset from whatever it's expected to be.
Have said that, I still believe your point is valid and it probably is better to tie grounds directly and offset the audio signal instead.
Maybe the circuit I saw once (I'm thinking it may have been an automotive audio schematic) where the signal ground was also capacitively coupled ensures that only AC will ever flow through either conductor. Interesting stuff -- thanks for the discussion. I'm still a bit too new to electronics design to foresee all the implications of some of these decisions.