You have to protect against 2 different things: Current (AKA Amps) VS Voltage (specifically peak voltage).
In terms of a water analogy, water pressure is Voltage. Amount of flow is Current (Amps).
So here is the basis of the whole thing. Your transformer is the source of the power. It provides both Voltage and Amperage. The ZW transformer itself at best has a high amperage slow acting thermal based circuit breaker meant more to protect the transformer than any load connected to it.
Fuses and circuit breakers- again, being Current control devices- are placed in series with the load so that the current must flow through them and that's how they can sense and cut off the current flow in a fault condition. Again, internally the ZW has a breaker, but it is way too high of current rating (well over 10A for several seconds, maybe more).
A key point or rule I was taught early was put a fuse or breaker nearest the source. This way, any downstream wiring or connections are also protected. Again, like a river, the fuse or breaker should be near or right at the source of power (in this case, transformer).
You should use individual fuses or circuit breakers on each of the 4 possible outputs of the ZW in series with each load. The fuse or circuit breaker rating should be reasonable and slightly above the normal expected load with some margin, but well below the maximum of 10A typically for most scenarios. I typically stay in the 5 to 7.5A range- especially given the thinner wiring found in many modern locos like Lionchief and rolling stock.
Voltage suppression- AKA TVS:
The problem is that modern electronics have a voltage limit. In other words, the electronic components inside have a maximum (back to the water scenario- pressure) voltage before they break down. Because of capacitance and inductance of the wiring, track, motors and accessories, because we are using rolling wheels to connect electrically, we generate huge amounts of inductive voltage spikes. For the same reasons the spark coil in your car creates huge voltages to jump spark plugs gaps, we in model trains, create these votlage spikes of well over 60 to hundreds of volts.
A TVS (Transient Voltage Suppressor) is used to short (AKA clamp) these voltage spikes. It does so by being put in PARALLEL across the track and power wiring. Again, in order for the TVS to sense the voltage and be able to do something about it, it must be in parallel to the load or source.