Multimeter fuses are not just to protect the multimeter. They are also to protect the user.
I've blown a few £5 fuses in multimeters. The fuses are often 30 x 10 mm, rated to 500 mA to 15 A, but usually with a 100,000 A breaking capacity. The idea is that if you manage to get a really big fault current, the fuse will still break it OK. If you use something less capable, the current will arc across the fuse and not be broken. Then the user realises and pulls the leads from the supply, and the current arcs to the leads, followed by the current arcing from where one lead was connected to where the other lead was connected, and then the current can really increase.
Where I used to work there were some serious 415 V supplies. Someone used a meter that wasn't fused to check the voltage on the bus-bars. The resulting arc trashed the entire electrical cabinet, melted the ceramic of some big fuses, and put 3 people in hospital. 5 years later, on the forehead of one of them, you could still see where his safety helmet had protected some areas of his face and not others. Apparently the multimeter didn't even look damaged.
I know most people on this forum won't have access to supplies with that sort of power, but I would always use the right fuse type for a multimeter, and be very wary of using a cheap multimeter on supplies with large potential short circuit currents.