Protection?

[Hermanni]

Fuse the filament as well.

Why?

[Tubis]

Why?

To protect the powertransformer.

[Don Moose]

The filament ( I assume we're talking 6.3VAC heaters, not the 5VAC recto filament) is a fairly high-current rail and a stupid short there is pretty likely to toast your PT. The DCR of the B+ winding should sort of help, but the heater's DCR is relatively low.

Hope this helps!