Is it safe to remove a plug, and wire a light fitting into the wall?
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If the manufacturer says they need a fuse, then I'd probably install a fuse. Just install a 5A fuse before the transformer, and make sure it's accessible in some way.

The light circuit is probably on a fuse/breaker at the service panel, but since you are using a transformer to step down to low voltage a fuse may be required to protect the transformer and low voltage wiring. The fuse/breaker in the main panel will probably be 15-20A; since it's designed to protect a normal line voltage lighting circuit, so you'll need another 5A fuse before the step down transformer to protect the transformer and everything downstream from it.