What is the reason for a fuse next to a thermostat?
The fan doesn't produce heat, but if the fan never blows, the heating element might overheat and start a fire.

Thermostats fail. Safety regulations generally work on a "single fault" principle. Meaning no single fault in a product should lead to a safety hazard. In this case, the thermal fuse provides a backup to prevent a fire in case the thermostat fails (or, as @winny points out, in case the fan is mechanically blocked).