I see no fuses.

The green blob is a PTC thermistor, to protect the Ohms, continuity, diode test etc. Q1, Q2, Q5 and Q6 are diode clamps (after the PTC).
R7A and R7B are high voltage resistors, probably the top of the voltage divider for the volts ranges. Likewise R4A and R4B (probably lower voltage range).
D1, D2, D3, and D6 will be the overload clamps for the output of the Jaw current transformer.
I can't see any evidence of current ranges on the Jacks.
Pretty much as expected, there's not a huge amount of protection on the Jacks for the Cat rating but pretty much as expected for the price range (try to avoid applying highish voltages when not on a volts range (it's always good practice to double check anyway).
Fuses are only useful for direct (on the jacks) current ranges, so it really would have been surprising if you had found any. That's what you get from generic Amazon seller advice - I'm sure he meant well though, just lacking information / knowledge, don't hold it against him.