Depends. If it is a MV VT, I would. Fused cutouts or power fuses are not real expensive and will isolate a failed VT from the system. If the bus that the VT is connected to has instantaneous protection like bus differential or instantaneous overcurrent, you will trip the bus anyway. The fuse will provide a disconnect means to replace the VT if necessary. If the VT is in metal-enclosed switchgear, I definitely would provide primary protection.
For HV, primary protection gets a lot more expensive and you will almost always have instantaneous bus protection. Generally, I would not provide primary fusing on HV VT's.