Simply because they fail for no reason, making for a very quiet gig!
There also seems no reason for a fuse in the heater circuit, it's not something which is going to cause a problem - assuming it's designed and built with even a very tiny bit of care!. I've been mending valve amps for many decades, I've never seen any such fault, and never heard of anyone who has!.
Interesting mention of 'high voltage faults' when we're discussing a 6.3V heater supply
BTW, as someone from the valve era, I wouldn't consider using a valve amp!.