That's my feeling as well. I can hear when the hot water has reached my shower.

I hear the same with my shower, but I'd wager most of the change in sound would be to do with pressure change between the hot and cold source.

That was what I thought at first too. However if it were pressure change, the sound would change when you move the knob, not when the hot water reaches the shower.

Also it's more-or-less the same pressure. It's the cold supply pressure pushing water out of your tank or through your tankless water heater.

Yes, the thermostatic mixing valve is worth understanding- it’s pretty neat.

In most plumbing (at least in the US), there is no difference in pressure between hot and cold because the hot input is the same cold water source.

I turn on the tap in the sink in the bathroom, when waiting for the hot water coming from the cistern. The water in the pipes have cooled down over night. I can hear the difference in the sound when it splashes in the sink, when it is hot. So yeah.

That doesn't surprise me at all. I can tell hot water from cold by how it looks when you pour it, (steam aside).