Go to Rhino preferences -> display modes -> shaded (or ghosted) -> objects -> curves. Set curve width to anything between 1 and 4: no change in curve width. Setting it to 5 or greater works.
Haven’t yet checked any other display modes than shaded or ghosted.
Version 6 (6.18.19249.01112, 2019-09-06):
For me, Axis line width, e.g., and other line width settings (display modes) now are shown as set up in the advanced settings.