Short answer (pun only somewhat intended): interrupting high-current DC is not as straightforward as it looks. For instance, deactivating a set of relay contact

Short answer (pun only somewhat intended): interrupting high-current DC is not as straightforward as it looks. For instance, deactivating a set of relay contacts tends to cause an arc if any amount of current is being interrupted (inductive loads make this worse). For AC, this is manageable since the waveform will hit a zero-crossing in a a handful of milliseconds worst-case, terminating the arc. For DC, no such luck. In extreme cases, the arc can actually WELD the contacts together. Fuses will, barring ludicrous overload (putting a 12V fuse in a 10kV DC circuit), fail open - a definite positive for a safety measure. Using fuses makes sense in a lot of applications because they are (as noted above) safer, cheaper, and more reliable. It probably doesn't hurt that a fuse is easier to diagnose; control circuits can intermittently fail but an "intermittently blown" fuse would be an odd thing indeed.