I would worry more that your wall wart is unable to provide fault current, i.e., it is "impedance protected". But not necessarily well enough by itself to avoid melting or smoking or burning up, for which the fuse would be nice.
Tim
Yeah, I've noticed this already. I have a 5V rail powered by an MC34063 which is powered from rectified 24Vac. I inadvertently used a rectifier diode that could not handle the negative swing, failed short, exposed the elco filter caps to negative voltage, they exploded, the MC34063 was hosed, as was the Raspberry Pi downstream on the 5V rail.
And the 2A fuse just sat that whole misadventure out. :-(
I wasn't standing over the board when it failed, so I don't know what the wall wart did in the circumstance, but I suspect that the voltage dropped under the near short, but it didn't cut out or do anything useful.
The lowest ATO rating seems to be 500mA, which may still be too high to provide useful protection for this part of the circuit.