As you mentioned its about the subconscious level, if the system or application can provide a perception that a system has changed state in a high speed that it almost seems instantaneous, it enhances the user experience since it gives a sense of continuity and also informs the user about the change.
To quote this article from smashing magazine
A good transition should be almost invisible to the user. It should
help the user understand where they are navigating to and where they
have come from, but it should also be smooth and quick. A stall or
stutter impairs the overall user experience and tells the user that
something is wrong. There is such a thing as UI motion sickness, where
the user gets so used to the fluidity of moving between screens that
when a screen freezes for a second or two, the user feels like they’ve
come to a sudden stop. It is these sensations we should avoid.