I too think that the manufacturer is covering their arse; but consider this:-
A lighting circuit is normally protected by a 5A fuse/breaker – this allows for over 1000W on each lighting circuit. Should a fault occur, at 230V enough current will flow to operate the fuse. With a dimmer switch set at minimum, the voltage supplied to the bulb is likely to be less than 30V rms, it is far less certain that at this voltage, sufficient current will flow to operate the fuse.
With a continuous fault current at say 7A, who is to say what damage might result.
If you really want to add dedicated fusing to the dimmer, it would be simpler to fit an inline fuse within the dimmer switch – but be prepared to replace it each time a bulb blows (personally I would not bother). Most of my lights are on dimmers, with only the 5A breaker for protection.