I have the following schematic powering my circuit.
Is it required that I protect the USB power pin with some fuse?
It looks like your device is a target as opposed to a host controller. As such your device would be consuming power off the USB cable. So generally it is not necessary for you to put a fuse in the 5V path from your USB connector. You could add it but it would be more for protecting against faults inside your target device.
On the other hand if your device was to be a host controller where it is expected to source power from in internal power source out to the USB connector then you would want to provide some current limit protection. How you choose to do that will depend upon your application but choices could include fuse, resettable polyfuse or one of the various USB power switch/current overload detector chips. Any of these will protect your host device in case someone plugs in a bad cable / device that happens to have a short in it.