Why we can't use SMA connector for audio

[ICG]

The "standard" F-connector is screwed/turned onto a coaxial-cable (twist-on-plug type) and yes, the bare conductor is "peeking" out; WIkipedia is absolutely correct.
There are lots of adapters/loads/DC-blocks etc. with solid pins though.

Your picture doesn´t show a F-connector but an adapter of some sort (coupling nut on both ends)

Yes, that's an adapter but that's not relevant, in fact the majority of F-connectors DO have a pin. The core wire connection is only thought for ppl who can't solder.

F Type - COAX Connectors

 

[ICG]

Doesnt answer the SMA question but as an alternative to RCA I now use REAN mini-xlr's on all my builds. It means a non standard wiring when using 3 pin xlr's with 2 wire cable but I like the consistent snap in reliable connection. Ive made xlr to rca adaptors when I have to connect to "normal" equipment

You can ofcourse use SMA or most other connectors for audio, the cable impedance is at high frequencies, at low frequencies (audio range or <100kHz) it works as a cable with its DC resistance. Many coaxial cables are for permanent installation, they can be stiff or don't take many bends till they break. Tight bends are also not very healthy for the most coax cables.

If you want to use XLR, mini-XLR, DIN, stereo 3,5mm or 6,3mm audio jack per channel etc in non-standard configuration, ie -/+ on the inner wires, just connect the shielding on just one end to prevent hum/ground loops.