Advice on power supply wiring for the UK
The fuse may be academic, because there might be an integrated fuseholder in the PSU itself. That said, adding another fuse in the form of a proper UK plug certainly won't hurt. 

I'd certainly do this, too. Fuseless plugs have no place in my home/workplace

For the rest - yes, the 220V position for the switch is good. Grounding, again, certainly can't hurt, but the PSU is probably double-insulated, which doesn't require it.