Fuses are for protecting circuits from overload due to current. The PMDX-424 has an internal self resetting "polyfuse" to interrupt the current that it draws from the 120 VAC mains if there is a fault within the PMDX-424 or if something overloads one of its outputs.
Having a fuse in the 120 VAC power line feeding the PMDX-424 is useful if you are concerned about short circuits in your wiring harness.
Protection from power surges would require a "surge arrester" which works by clamping excess voltage, not a fuse. It is common to find 120 VAC outlet strips with built in surge arresters. Such a power strip may be useful to protect the PMDX-424, and also the computer and monitor associated with the system.
Stand alone surge arresters are available, but they typically cost more than an outlet strip with an internal surge arrester.
Here is one example of a stand alone surge arrester:
https://www.ebay.com/itm/175581200914