Yep. The fuse is actually a 1.2 ohm 1/4 watt resistor and in the set I hacked is present at each end. There are also two 1N4007 diodes at each end.
The 'electronics' are housed in a heat molded lump of plastic close to each end of the string.
The string of LEDs is on the third conductor, the other two wires are live and neutral (117vac Canada) At one end the leds are fed from the anodes of the diodes each diode connected to live and neutral respectively, the one diode going to the live side also has the fuse resistor in series.
The other end of the led string is fed from the cathodes of the diodes, one diode going to the neutral wire has the other fuse resistor in series. Using a fuse at both ends guards against the diodes shorting and overloading the circuit. Using a double feed from live and neutral powers the leds at 2x the power-line frequency or 120Hz here in North America which makes the strobing a bit less noticeable.
The string I took apart had failed and the cause was dry solder joints at the diodes. The soldering was typical awful Chinese soldering using lead free solder.