Depending upon the application, the fuse would need to be of a very high current rating. Some of the F3A motors are drawing 80+A during a flight. If the fuse was to blow during a flight then you have a deadstick.[
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If you're using a small electric with a fuse and the ESC has a BEC, should the fuse blow you'll have no power to your Rx. That would be healthy.. [&:]
Adding a fuse will not only add another failure point but will also increase the circuit resistance with the fuse and extra connections needed.
You just don't need a fuse as the electronics these days are pretty reliable.
When something is about to go wrong you usually have a good warning i.e. noise or power lower than normal. When something seems abnormal, land and check it all out.
Cheers
Jason.