I didn't do a very good job of explaining this before, but the point I'd like to make is that overcurrent protection is a layered approach, and the fuses really are necessary.
The circuit breaker in your panel is intended to protect the branch circuit - not to protect the equipment that's plugged into it. For example, if you have a 20 Amp breaker, then the breaker, the wire in the walls, and the receptacle are all sized and rated so they work together as a system so the circuit can handle the rated load and the expected fault currents without catching on fire.
But, the circuit breaker doesn't care whether it's feeding a 20-amp mig welder, or a 0.34 amp string of minis.
That's why you need the fuse in the minis. The fuse is sized to match the smaller wire and connectors on the string, and limits the current to the range they can safely handle. Without the fuse, the light string could catch on fire at amperages well below what it takes to trip the breaker.
Please don't take this the wrong way, but... To say you don't need the fuses because you've never replaced one is like saying it's OK to take the seatbelts out of my truck because I've never been in a wreck.
-Murl