Choose Extension Lead
Is the only risk overheating ?


Over heating is number one risk even incase of branded extension cord. Please make sure that there is sufficient air cooling for the cable. Problem is that when the cord is fully loaded with high current the heat generated needs good passive ventilation atleast. When the cord is coilable, the coils in the inner rings gets over heated and will be a chain reaction with higher temperature and increased resistance and higher dissipation as well to an extent of fire.


  As far as I understand, the thicker the extension lead, the safer it
  is because it is less likely to over heat. Is there any downside in
  getting the largest found cable?


Definitely a plus provided that the cable is really a very good conductive cable than a thin cable with a very thick plastic sleeve.  


  Some have a fuse, is it useful ?  


Fuses save lives. Yes. 


  Can I use extension lead bought in a country where Volts are 220V, in
  a country where Volts are 230V ?


Yes for sure.