In 3 phase ac system ,In the case of link in neutral, we should not use fuse. (neutral is using at distribution level for getting single phase or 3 phase 3 wire 4 wire system to supply the power to the some loads), Suppose we use the fuse in the neutral line,if any fault or break occur in the neutral line, but current flows from phase/line to load and come to neutral wire where it has break,there will be a chance to shock to human beings/workers who will do the works regarding the repairs.
we generally putting fuse in phase/line for protecting the equipment/device from high voltages/currents.if any fault occur in the phase/line ,current will not flows from fuse,only it will come fuse hence there is no problem but in the case of neutral, the current flows through out equipment that may lead to creat some problms as mentioned above.
that’s why we w should put only link for neutral in three phase ac system.
The role of link in 3 ph system is to give path for the unbalanced currents. Instead of using link if you use fuse think what will happen when the fuse blows in the neutral line.
some of the answers are correct but one of the major reasons why the neutral should be there is to protect the system in case of any partial system failure. If one of the phases fails then the other 2 [hases will not get affected if the neutral is hooked up but if is not there then the voltage across the other 2 phases will change dramatically and might damage the load or will not be sufficient to carry those loads.