The purpose of putting silicone grease on the end caps of fuses and on the pins of electrical connectors is to prevent air and moisture from corroding the metal contact surfaces. The grease doesn't prevent electrical contact because the grease is wiped off of the metal surface at the point of contact. The grease which was wiped from the point of contact just piles up next to the contact and acts as a further barrier to air and moisture. The normal 12 volt power in the car is well able to conduct through what little grease is left on the metal when the connection is made.

The only exception I know of is the connector for the Oxygen sensor. The output of the sensor varies but is less than 1 volt always. It is not recommended to put any grease on this connector. Volvo came out with a TSB in about 1994 directing dealers to grease all electrical connectors EXCEPT that oxygen sensor connector.

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1986 300E
1993 Volvo 940 Wagon
1984 Volvo 240 (daughter's)
1976 Dodge 1/2T pickup, gas hog