Fuse symbol on toroidal transformer
In this case the fuse symbol indicates the fuse rating you should use. 2.40AT means you should use a 2.40A slow acting fuse (type T, T stands for Trage). Trage can be translated from German to sluggish, slow-moving.  You can verify that the 2.40A matches the rated current for each secondary of the device you are considering.

The datasheet mentions no fuse, so it should not be integrated.