Fuse on the radio end (or in the radio's harness) will protect the radio, but putting a fuse on the other end (nearer to the battery) is to protect the battery and the vehicle (and against the wire going on fire from the other side, lol).
Really the wire gauge you'd be using would probably melt (and the fuse on the radio side would blow) before anything would happen to the car's electrical system or the car; but it's not a bad idea anyway and generally you do want to follow proper convention that says to fuse any wire coming directly from the positive battery, within a reasonable distance.