We run on roughly double your voltage and a slightly lower frequency - 230V @ 50Hz - with usually a fairly decent amount of amps available, so a little more protection is a good thing. Mains here is hot, and it tends to tense/jam the muscles in your arm so it's hard to pull away, so you do not really want to be friends with it.
But I'm afraid I still don't see the advantage of having a fuse or (circuit breaker) in the plug itself. What is the rationale behind having two over-current devices in series? Circuit breakers and fuses (c.f. ground fault interrupters) don't really do anything to prevent a human from being zapped: They're there to prevent fires. You can easily stop a heart (or cause burns) without drawing anywhere near enough current to activate the protection. If Britons think circuit breakers are so unreliable that they need two, why put on on the plug instead of both in the distribution pane?
Having the fuse on individual devices plug is just handy.