I think the case of death for DZ-2500s is much more likely to be spikes or other transients on the power line, rather than sustained overloads that a fuse would handle.
If there are likely to be spikes on the power supply line, like an accessory with a solenoid or vibrotor, then a TVS or RC filter across the DZ-2500 red and black terminals might be helpful. Or maybe better, put that protection across the power terminals of the accessory that might generate those spikes.
I had a location near a Lionel mail drop (solenoid) where DZ-2500s on the same power bus would regularly expire, until I installed some protection.
