2 pole 240v AC circuit breaker wire connections
If your oven has a white neutral on its connection block, you must connect it. Follow the instructions. Some of these ranges and ovens (maybe all or the vast preponderance) use 240 V for the main heating elements, but 120 V for controls, lights, and maybe even for smaller heating elements. Hence, a white neutral must be connected.

The admonition to not fuse the neutral does not mean a neutral is not needed. The neutral is connected to the neutral bar in the panel and is not fused there. The reason to not fuse the neutral is to never have a loss of the neutral without the loss of both hots. Loss of neutral can lead to the neutral becoming hot (shock hazard) and could lead to loss of control of the oven.