IF the switch system connected the alternator output to the DC accessories when in position -0-, running with the lights on would actually provide the load desired. But, seeing it's position -0-, it does not connect anything
Here's an example of a proper, but unexpected, alternator load - MY truck is set up with a master battery disconnect. Running the engine with that switch open (no battery) denies the alternator it's load and could possibly harm it. BUT, leave that switch disconnected (open), turn on all the lights and the alternator would be happy and harm free. That 20A (or so - I have all aftermarket high energy bulbs) load simulates the battery.
(edit) BTW, a simply fuse system will NOT reliably protect anything from high voltage spikes - only (extraordinary) overcurrent conditions.