fusing is just an extra option you can order. That way if the ballast or capacitor were to malfunction and draw excessive current, the fuse would blow, (hopefully) preventing any severe damage. I would only think it's necessary on lights mounted onto a building or lights on a wood pole with an arm less than 4ft. . If the light is on a metal pole or on a wood pole with an arm over 4ft if it got hot enough to ignite flammable stuff you wouldn't really need to worry. Fluorescent ballasts (mainly older ones without ballast end-of-life protection) can have very destructive failures too so from now on I'm going to fuse them, as it happened to me. The capacitor shorted out, making the ballast run really hot and leaking tar and PCBs all over the palce. Fortunately the lamps and starters made it but the fixture was a total loss.
Yeah I don't think the core and coil HID ballasts are thermally protected so I guess it's also a good idea to fuse them. They might be safer than unprotected fluorescent ballasts since they don't have tar potting to go up in flames though. I do have a similar fuse block with a 5A fuse that I might install in my B2255 though.
What is the fuse box for?