Have used those boards for years and they work well, provided you stay well under the 2 Amp rating for each channel.
You will see a Green resistor shaped component beside each SSR, that is a 2A fuse , so as metioned you could add a fuse in your mains supply input thats at least the sum of all of the SSR, so for you thats 8 amp or the next nearest higher value available.
You can also see just below those green Fuses is a black looking slot, its in fact a open area / hole in the pcb to physically isolate the mains part of the SSR and PCB from the DC input.
We are not qualified electricians, but would not put any mains wire, including Earth onto the DC side of that board.
Ours are wired almost as your original photo shows apart from the L and N colours being mixed up, though we pass Live though the SSRs , not Neutral.
Which type of board did your order a HIGH or LOW type ? High means you have to turn your Arduino pin High to turn ON the SSR, Low Means turning the Ardiino pin Low to turn ON the SSR.
If you are not competant with mains wiring then do get things checked out by a qualified electrician.