It's there to prevent the alternator from "overcharging" and putting out more than X number of amps to the battery. You don't HAVE to put the fuse (or a fusible link) in there, but if this were to happen it could really fry your wiring system. Lots of people have done the upgrade without using a fuse/fusible link. But, you'll be taking a risk if you don't put it in there.
For the record, both of my cars have been upgraded to the G3. The first car i didn't fuse (did the wiring myself). On the second car i used the PA wiring and fuse since it was a LOT easier and faster that way.
I've done it both ways and think the PA Performance wiring kit was well worth the extra money.