Good question, I remember reading that light enhances alertness, so it is counterintuitive that people should close their eyes to better listen, there must be something important that offsets the darkness downside!
This one seems relevant and interesting: “Voice-only communication enhances empathic accuracy.” https://psycnet.apa.org/doiLanding?doi=10.1037%2Famp0000147
Other tangentially related study about closing eyes during recall: https://www.sciencedaily.com/releases/2015/01/150116085606.htm
It helps witness recall. Also they notice that building rapport with the witness helps them feel more comfortable with it.
My very-non-expert opinion is that closing eyes is just forcing concentration on what matters at the moment by categorically excluding some of the rest. Kinda like having to pause the housework for a few seconds in order to re-listen to a sentence that was more convoluted than usual in the podcast you’re listening to.
Personally I understand with more ease when someone is talking not directly to me (but i prefer keeping my eyes open, even when im alone and the camera is off), and I believe that it’s because then I only have to concentrate on listening instead of also having to look/listen for cues to decide whether the speaker needs/expects some sort of interaction from me for the good outcome of a conversation.