A fuse between battery and ESC is generally a good idea. It does protect the boat against any internal fault inside the ESC. There have been recorded instances of ESCs having component failures that result in a short across the power supply. Rare, but they can happen. A fuse loses you control, but gives the chance of getting the boat back rather than watching it burn down to the waterline out there.
A good friend, years ago, commented that "Any transistor will protect any fuse". Power transistors were a bit delicate back then, and tended to go pop and disconnect. More modern ones are more robust, and can melt to a short circuit. Old time transistors could be their own fuse, modern ones might need a bit of help just in case something else fails and causes them to switch on (or not switch off) when they shouldn't.
In a fast boat where maximum power plus a bit for luck might be wanted, a judgement call is needed. A fuse works because it is a bit of extra resistance in the wiring, do you want the extra weight, inherent fault liability of a deliberate weak link in the circuit and weight plus the fractional bit of extra resistance, or the perceived extra bit of performance?
When a fuse blows, there is always the question of "Why". Was it something that broke, was it something that was straying out of parameters, was it just the fuse or its mount getting old and tired?