Yes Shipmate,
The non-relay ESCs have a bridge of four transistors to drive the motor arranged like a "H", with a transistor in each arm and the motor in the crosspiece. These work in two pairs, top left and bottom right for forward, top right and bottom left for reverse. If any one of these is either shorted or caused to remain switched on, then when the other pair switches on, there is a direct short across the power line, with a consequent enormous current and heat dissipation. Even with a fuse, there is the possibility that a fault could occur that would result in a massive power dissipation in the ESC because mother nature makes strange and unlikely circuits, but a fuse covers most eventualities.