Why not include a thermal fuse in electrical outlets?
The other answers seem to be misinterpreting the 'thermal fuse' part of your question.  A 'thermal fuse' is an electrical overload sensor that uses heat as an indicator of an electrical overload.  It sounds like you are asking about a thermal cutoff like the kind included in motors to which open a circuit when the locally detected heat (ie. not generated by the electrical current itself) exceeds a set parameter.  

The reason this is not included in electrical outlets has to do with the cost-benefit of including such a complex sensor (~$0.75) in such a simple and inexpensive device like an outlet (~$0.30).  Electrical codes require all wiring devices to be installed in a UL listed box or enclosure.  

The same codes require these boxes to be flame resistant.  The idea is that the effects (heat, fire, etc.) of the  high resistance connection will be limited to the box.  Fires certainly do occur as a result of this but this is infrequent compared to the much more common ways electrical fires start.  

Codes are updated every couple of years and are getting better and better at addressing less and less common occurrences.  For example the 2014 NEC requires AFCI (Arc-Fault Circuit Interrupters) in many locations that do a much better job of detecting events on the more dangerous, fire-starting end of the spectrum of 'high resistance events' you are describing.