That protects the rest of the wiring harness from serious shorts, as the fuse link burns out before there's major damage to the rest of the wiring. It's a very unusual circumstance, for that to happen, but it's good insurance. One further piece of advice- - - -Since it's difficult to get a really good crimped connection on fuse link wire, and soldering is also problematic, I like to use a "Western Union Splice" which consists of about 10 turns of tightly-wrapped wire in each direction so there's a large amount of contact area between the wire and the fuse link. Then insulate the connection with self-vulcanizing rubber tape. You'll get a virtually zero-resistance connection that way.
Jerry