Fuse: the primary function of the fuse is to protect the internal fixture conductors in the case of a short within the fixture. If there is a short, the fuse will blow prior to exceeding the amperage rating of the conductors. Fuses were used in HID fixtures as an HID ballast is a non-electronic device that may draw more current than the conductors can handle. Fuses in LED fixtures are largely unnecessary as the drivers have built-in response circuits that protect against such abnormal operation.
Surge Protection: Quite opposite of the fuse (protects the conductors within the fixture), the surge protector protects the fixture from external surges transmitted by the conductors. In the case of a transient surge, the electronics (MOV's and more) will dissipate/absorb the surge, not allowing the surge to destroy the downstream driver and the light engines. While the driver has internal surge protection, the separate device has much greater protection, and is much less costly to replace than a full driver with a blown protection circuit. Obviously, there is a limit to the level of transient events that the system (surge protector, driver, and LED module) can handle before getting destroyed. Nothing can survive a direct lightning strike