Why would you need one? We don't have fuses in Australian plugs, and we get along just fine.
Errrr because you could burn your house down and kill your entire family
The VAST majority of U.K plug outlets are installed on a 2.5mm ring final circuit (which is risky and fundamentally flawed imho, but I digress :-/ )
This 2.5mm ring final basically gives you a supply CSA of 5mm which allows the safe delivery of around 32A, a power lead will normally contain cables with CSA of 0.75mm-1.5mm this can safely carry currents of 6A-16A.
Without a fuse a faulty device connected to such a cable would physically be able to demand a current that the CSA of the cable could not safely carry, effectively turning the power-lead into a heating element
The cable would glow red hot and potentially start a fire.
The fuse's in our plugs are their to protect the cable and nothing else, in the same way that the MCB's in our CCU's are there to protect the Ring Finals and radials in our houses, making it physically impossible for them to demand a higher current then they can safely carry!
Fuse's in U.K plugs are VERY important safety devices and you could not remove them safely without re-designing and completely re-wiring your house and even then the only safe way to do that would be to wire LOADS of small CSA radial circuits!! i.e it wouldn't be practical or cost/time efficient!!