I've not seen winch kits offered with fuses.
If I were going to fuse the winch supply circuit, I'd do so using an ANL fuse (available in steps to 600A, easily replaceable) and be sure to size the fuse accordingly. The feed leads tend to be a bit undersized, but that's because the duty cycle of the winch is rather low and the pulls tend to be short (1 or 2AWG serves most common applications. If you were planning on using your winch far more often or for far heavier pulls, going to something like a 00AWG or 000AWG would be indicated.)