Any fusing would serve to protect the wiring, power supply, and instrumentation from a short in the circuit before it reaches the module. The fuse should be between the instrument power supply and the instrument and must be in the same enclosure as the instrument power supply. The max size for the fuse according to NFPA79 is
18 AWG = 7A
20 AWG = 5A
22 AWG = 3A
24 AWG = 2A
or not greater than the power supply output, whichever is less.
For example, if I had a power supply that was rated at 5A but my circuit had 22 AWG wire in it then I could not use a fuse larger than 3A. Or if I had a power supply with a 1A output but used 18 AWG wire I could not use a fuse larger than 1A.
You may use a smaller fuse if you wish, but the purpose of the fuse is to protect the wiring, not the 4-20mA loop. If you have adequate power supply protection and are placing a fuses on each of the loops to allow you to interrupt/isolate a single 4-20mA loop then any fuse that is not larger than the primary circuit protection fuse will do.