The batteries which you got are hybrid IMR "safe chemistry" batteries. These are much safer than protected ICR Li-ion batteries, which is the other alternative of Lithium Ion batteries.
ICR batteries require a rudimentary protection circuit built-in the battery to even be considered to be used in most appliances. This is because ICR batteries can vent flames and possibly explode when they become stressed and go into meltdown mode.
Since IMR high drain batteries have come on the market, they are now recommended to be used in both regulated and mechanical mods. Their chemistry is "safer chemistry"; and although they can still vent hot gas when they become stressed, they will do so less dramatically without flames or explode.
Now to the question of should you use a fuse for your mechanical mod?
Regulated variable voltage mods have a processor which has built-in protection circuitry. Protection against short circuits, over-discharge protection, reverse polarity protection, thermal protection, etc. In the event of a dangerous situation, this causes the mod to refuse to fire to protect itself and you.
Mechanical mods obviously don't have this built-in protection. The only protection is your knowledge and awareness of recognizing a dangerous situation and knowing what to do if it occurs. Even if you use safe chemistry batteries, why not use another layer of protection using a Vape Safe Fuse?
Mechanical Mod Proper Useage Guide
Battery Basics for Mods: IMR or Protected ICR?
Deeper Understanding of Mod Batteries