Why aren't high-current ammeters protected with a fuse
Good quality multimeters do have fuse and other overcurrent protection on all their current ranges.

For example, Fluke multimeters can normally survive being connected to 250 VAC across their current measuring ranges

 F87-V
F77-IV
Note separate High Rupture Capacity (HRC) fuses for both 10A and 400 mA inputs.

Some cheap multimeters omit these protections as a cost-saving measure.

See 
Multimeters that do not appear to meet their safety specs.

And EEVBlog Multimeter fuse protection explanation