When I was just getting started I'd asked this same question of the Help Desk, and there's no recommended fuse or or circuit protection needed to protect the PLUS1 controller. The controller protects itself, so stuff like short circuits on the outputs aren't going to hurt it. I think the only electrical ways that you'd really damage the controller are stuff like over voltage or high speed short circuit cycling. Neither of these would really be prevented with a fuse.
The only way that I've ever seen PLUS1 controller permanently damaged was due to a small amount of water in CAN bus connectors that caused CAN wires to short circuit to ground and each other for rapidly and intermittently for a long period of time.
So, your selection of a fuse or circuit breaker, if you want one, is going to be based on your amp draw. For example, if your controller and other components are drawing 15A total then I'd recommend a 20A fuse.