I have a DAC I'm working on that has something like 8 regs per channel. There are three rather simple unregulated supplies feeding them, very similar to the unregulated section of a STEPS. I also experimented with a pair of sigma22 and a sigma11 (yes, crazy) and bypassing the regs and I couldn't hear any difference, in fact the regs sounded better to me depending on how little sleep I had at the moment. I was planning on trying a "TeddyReg" design, or even other similar mini regulators and just haven't gotten around to it. Problem with those, is they are hard to heat sink. I think the key here having just enough voltage head room, so that most of the heat is from current consumption. I changed all regs to be LDOs and thought it was a positive change, and looks to me to be a good choice in this situation as well.
Then again, take this with a grain of salt. I'm using ceramic capacitors as bypasses right next to all the DAC chip sockets, so what do I know