Patriq,
I'm running a near identical installation as yours.
Ignition switch -> "ECU Relay", 20A fuse. This fuse drives all the "ECU" components (fuel, ignition, EDIS, coil pack).
Of course it would not hurt to individually fuse each component. You just need to find the right balance for protecting each circuit and sub-circuit. Studying what Automotive OEMs do would with wiring harnesses would be a good example, and that's what I emulated with my installation.
Inside the MJLJ, the circuity after the 5V regulator is supposed to be over-current protected. So you should be OK there.
There are a few components before the regulator (protection diodes, capacitor). Assuming the unit was assembled correctly, in a practical sense these components could be considered
no less reliable than the actual +12V supply wire going to the unit. Just trying to layer in some perspective.
Regards,