The only quote I could find at short notice is this: "That he could play pieces, and difficult pieces, I knew well, because at my request he has played me some of Mendelssohn’s Lieder and other favourites.” (Study in Scarlet). However, I cannot remember the scene you mention from Canon but only from many fanfics. Maybe someone else can help?
 

I've found it! I've found it!
It's from The Sign of the Four, where with a few short sentences sneaked into the end of a whole chapter focussing entirely on crime investigation, the great Doyle creates an enduring scene of sweet tenderness without being cloying in the least.
It plants the idea of a growing intimacy in this beautiful friendship in our minds and makes us wonder and imagine, all without insinuating anything. In fact, we're told Watson is actually thinking of Miss Morstan here!

Thank you again SusiGo, your response was my lucky charm here which made me renew my search one last time before giving up and following another lead!

Last edited by Barker (July 12, 2019 9:59 am)

I had completely forgotten that quote from The Sign of the Four (but then again I read that book years ago, before I started watching Sherlock I believe).
I have definitely seen that scenario in fanfic (and written it in my own)!