The diagram looks fine. Daisy-chaining the power is ok, as long as you use a gauge of wire which is capable of handling the entire load of the circuit. This method will also have the minor possible drawback that if the line is broken at some point in the chain, all leds past that point will no longer work until it's repaired. This will only happen in the event of a physical break in the circuit, not if an LED simply burns out. Another option is to set up a junction point for the +5v lines, with which this won't occur.
To gauge the fuse size required, you simply add up all of the components under the maximum load (i.e. 20ma x the number of LEDs) and add some percentage to allow for some headroom so as not to blow the fuse when there is no issue. Usually 20% is fine, but that's for you to decide. As you indicated, you only need the one on the +V line, unless you are connecting high current devices, at which point it may be prudent to protect those circuits individually.