That single 250 amp fuse, you linked to, has a purpose, and that might be close to the output of a battery that is intended to provide current for a large device such as a winch. In that application, it is protecting the wiring and the winch. However, this would not be suited for your lower current wiring to individual devices! The smaller fuses protect the lighter gauge wiring AND the devices they power. Without those small fuses, a chafed wire or internal short, besides the equipment failure, could cause a fire. And by the time that lighter gauge wire is melting or on fire due to a short, it won't have pulled nearly enough current to blow that big 250 amp fuse! They split up electrical systems into smaller fused branches for good reason.
Another advantage of using a fuse box with several fuses, powering individual devices, is that a failure of one device or wire will usually not be critical - you can keep operating without that device.