The sense wires for active shunts and battery monitors carry very little current.
My 500A shunt for my Pico is rated at 0.4mA.
Thus even a high resistance in the fuse protecting this sense wire will have very little voltage drop. At this low current the fuse and fuse holder could have a resistance of 25 Ohms before the voltage reading would be out by 0.01v.
The nominal resistance of a 2A blade fuse is around 0.05 Ohms. So even with the fuse holder the combined resistance is a couple of orders of magnitude lower than a level that will cause some practical effect, at least in a well designed battery
monitor.
There are some battery monitors that have a higher
consumption on the sense wires (sometimes the sense wire also supplies
power to the display). This is not an ideal design, but the inaccuracies created are small. The resistance of the feed wire (the run can be very long if this is carried back to the display rather than an active shunt) is generally more of an issue.
So use a fuse.