Think of it this way. The fuse is there to protect not only the radios, but also the battery and vehicle. With only fusing at the RigRunner, anything that might short out the wire back to the battery could easily cause a fire that may destroy your vehicle. A fuse on the leads as close to the battery as possible (both positive and negative!) will simply blow that fuse, preventing the fire.
Why fuse both the positive and negative leads? The positive lead is easy since that's what provides the main power. The negative lead isn't quite so easy to understand. Most electronics pull fairly small current so normal sized wire works fine. The starter (for example) pulls a very large amount of current and needs a huge wire to properly handle it. What would happen if that large wire or the connection to the battery got loose or disconnected? Well, your direct wire to the battery for your radio will now try to handle the full current load (way more than it was designed for no doubt). This could overheat that lead (if it wasn't fused) and start that fire. Crank the engine and that wire will really get hot and greatly up your fire chances.