The regulator has current limiting built-in. A fuse is still a good idea to protect the transformer, if something before the regulator goes short circuit, such as the rectifier. A 5A slow blow fuse will probably be sufficient. A primary fuse is also a good idea but might not be necessary, if the transformer has a built-in thermal fuse.
Note that the voltage regulator has a maximum power dissipation of 20W on a perfect heat sink. In real life it will be less than this. If the power dissipation is exceeded, then the regulator will shut down. This means the 3A will only be available if the voltage, between the input and output terminals of the regulator, isn't high enough to cause the regulator to overheat and shut down.