I have had 240VAC wiring short in a box, and the breaker tripped, but some of the wire burned. If you take apart a high speed fuse, it is often some form of conductive metal strip like silver between the caps with a series of holes punched in the strip. The narrow foil bridges will open very quickly based on current and heat, so you are most likely not going to have collateral damage is something goes wrong. The chance is small, but these type of fuses have saved my bacon on multiple occasions.
The one thing I have on all my VFDs is a Line (EMI/RFI) Filter, which is a combination of inductors, resisters and capacitors. These shunt electrical noise to ground, and input inductors have a smoothing (dampening) affect on the incoming line voltage. Behind this on my garage sub panel I have an industrial surge suppressor and also one at the main breaker panel. We get a lot of lightening strikes in Arizona, I have had multiple neighbors who have had their electronics fried. The usual plug in surge suppressors do not have enough capacity to deal with any significant line surge.
Most VFDs do have a shunt resistor between the input rectifiers and capacitor bank, the resistor is shorted after a short period on turn on. This helps reduce the input draw on turn on, and helps the longevity of the capacitors.