As a pianist, and when it comes to muscle memory, this phrase holds strong. It is always fun to play through a piece when you know how it is supposed to sound and try your best over and over again to learn it. For example, Fur Elise is a very recognizable classical piece for most students. It is a relatively long song, and has some simple yet some very difficult sections. As an intermediate player, you may read through the first section a few times and get it right. Then, feeling ambitious, you move on to the remainder of the song. The next few sections are pretty complicated but always bring you back to the main theme, which you have already learned. It would be fun to learn the song by simply trying to get through the hard parts to the easy parts you already know; however, this is BAD practice. Why? First, because you are taking such large breaks before and after the challenging sections you do not remember the errors you need to fix after so much time has elapsed. In order to practice this piece perfectly, you need to assess the entire piece to find your weak spots, play the entire section of the weak spot perfectly at a slow pace then gradually bring it up to speed. Doing this creates muscle memory in your fingers of how to physically play through challenging areas. Conversely, if you keep making the same error over and over again, you create muscle memory of that mistake, then it becomes much more difficult to fix.
In other words, just slow down, get it perfect, then you can slowly bring things up to speed. Most importantly, do not make the same mistakes more than a couple times because they will become habitual and will occur more often then not when you play your piece.
As far as other instruments, these rules still apply. If you continue to take an improper breath in a song you are singing in always the same place, it will be difficult to go back and fix the error. If you always use the wrong finger on a particular fret in guitar, you may end up either continuing to use the wrong finger and/or end up on the wrong fret altogether. Mistakes become habits, if you don’t slow down or check yourself before those mistakes happen, they will happen over and over again.