If you have the fuse inside the device, then damage to the cable could cause a short circuit and potentially start a fire. Having the fuse in the plug means that a short circuiting cable will just blow the fuse in the plug instead.
That's why the other end has MCB/RCBO/AFDD.
Harder to catch is overheating due to overload or degraded contacts or wires (soviet aluminum wires, oh yeah).
In case of brittish ring circuit, there is added fun case of ring disconnecting in the middle, effectively halving cable cross section