AC/DC power supply: help to choose fuse, varistor and/or TVS diode
Is it necessary to add an external fuse? Maybe something less than 1A
  to protect the internal fuse?


If the internal fuse blows then it's very likely that it's because the unit has developed a permanent fault. The fuse is present (as it is on most SMPSs) for regulatory reasons.

The input voltage range is rated at 85-264 volts and it will be fine even if this is overloaded by 10 % usually. They also say on their data sheet that there is a CB Report and maybe you could get hold of this just to double check on things. I wouldn't be considering using anything external on the AC side.


  'Over Voltage Protection (OVP)' -> '125% - 195%, auto recovery'. I do
  not understand this parameter well.


This again is likely to be another regulatory feature to prevent unsafe (to humans) output voltages. Normally this type of protection is implemented internally using a crow-bar circuit. 

If you can't live with the output rising to potentially 195% of nominal then I'd consider a TVS diode.