Fuses in plugs protect powerstrips (their cables) from being overloaded, e.g. using a powerstrip adequate only for a few lights to run a heater.

E.g. [1] is a "Max 10A" power strip, so the cable would heat and potentially melt if a 15-16A load is connected.

[1] https://www.silvan.dk/produkt/stikdaase-m-ledning-4-udtag-u_...

Where Schuko is common, we just put fuses inside powerstrips themselves, often integrated with e.g. lightning protection.