Unless you lost an incoming line it shouldn't overload if the output has overload protection.
Lose an incoming line and it still runs as single phase in three phase out - but with increased current on the remaining two lines and is a reason you need to oversize a drive if you are using it as a single to three phase converter.
How fast you want it to respond, assuming it is operating near full rating, would be a factor in determining how to select an overcurrent device.
If a portion of the front end rectifier fails it is toast anyway. All the fuses they suggest you use do is possibly change how spectacular that failure may be to witness.
Cheap lower output rating drives, probably not worth the extra $$ for such fuses, unless maybe available fault current is high enough you want lessen the significance of the arc flash that might occur.