You still need the fuse, yes, it's protecting the fan and the wiring. 30A is a little overkill, twice the rated current of the fan should be fine. The fuse still has the same job when you're using a relay, it's just inline with the relay now instead of inline with the switch. Put the fuse as close to the battery as possible. You're really protecting the wire and/or fan from catching on fire in case of a short circuit, so the less wire you have before the fuse, the better protected you are.