That's funny. I made my own cables and have flown them for years. They don't have fuses.
I'm not sure exactly what the purpose of the fuse would be. If the receiver fails in such a way to start drawing gobs of current, a fuse blow likely wouldn't save the plane. In the other direction, if the input line spikes or overvolts, the fuse probably wouldn't respond quickly enough. The receiver design should employ appropriate protection for that type of scenario, anyway.
A fuse is probably just a design feature that 'seemed like the right thing to do.'
Back to the OP's question, I've found the connector at the receiver to be unreliable and hold it in place with a drop of 5-minute epoxy.