D.E.,
In the configuration suggested/implied by by the manual that fuse is there to protect the Direct Lockon from melting if it fails and short circuits internally. Next down the line the Direct Lockon is there to protect your trains on the track from a short circuit that would occur downstream of the Direct Lockon.
As has been pointed out, if the fuse's value is smaller than the trip current of the direct lockon then it will blow first. It should be larger instead. I'm almost certain that the inline fuse holder in the cable came with a fuse that is too small because it was originally designed for another purpose (to be used between a transformer and a Power Master) and was never updated.
Select a higher value fuse and you should be ok going forward. If the Direct Lockon opens the circuit at 10 amps, use a 12 or 15 amp fuse instead. While 12 to 15A seems high remember it's job is to stop a melt-down in the Direct Lockon and not in the track or train. 12 to 15A should work fine for it's intended purpose.
M.H.M.
