I never thought before to fuse the winch, but now i'm considering it for the next install.
A fuse on the winch is to protect from wire abrasion through the jacket (like what happened to you) but primarily it's to prevent the vandal from bridging terminals on the winch motor, or from one of the solenoids failing and causing a current draw when the winch is not being used. I assumed it was a good idea based on the horror stories I've read of vandals messing with people's winches.