Fuses are used for a few reasons
1. Protect the device at the end of the wire
2. Protect the wire from too much current
3. Protect the vehicle from a fire caused by #2 destroying the wire
Starters draw large and varying amounts of current. In the case of the above reasons:
1. No reason to. It needs no protection
2. If the starter cable is carrying too much current, something else is majorly wrong and you'll already know it (i.e. blown up/dead battery, horrible sound when trying to turn the engine over, etc.)
3. This is really the only reason to have a fuse there. But, due to the hugely varying amounts of current a starter needs at different times, choosing a size that provides adequate protection probably will result in frequent needing to replace the fuse for no reason... Too large of a fuse and there's no point to having one.
With the short length of the wire, relative security of it's size/structure/mounting, there really isn't a need for a fuse there. Some cars do run fuses and or fusible links to the starter, but they cause way more problems then they are worth.