Thanks for providing pictures.
The diode rectifier is a little concerning. It looks like you've got two half-wave rectifiers. If the currents on the +12 and -12 rail are fairly equal, that should be OK. If the currents are unequal, you will end up with a DC current in the transformer winding, which can be very bad news.
DC current in a transformer secondary causes DC flux in the transformer core. A little bit is OK, but if you have too much, the core can enter saturation. During saturation the primary inductance drops away, then the primary current can spike really high and cause damage. So I would say that you definitely need a fuse in series with the primary.
A good way around this is to use a centre tapped transformer: