I have had several winches in the past (warn, Viper, Gorilla) and have never had a circuit breaker with any of them. I recently purchased a Superwinch 3500 for a Grizzly and it came with a circuit breaker. I always put the red + wires from battery to contactor & contactor to the winch in Plastic flex conduit, so never have had any rubbing / short issues. Opinions on whether you use a circuit breaker in your winch setup.
It is never a bad idea to use circuit protection, especially when it is provided for you with the kit. If you have the room, I would absolutely install it. You must remember, the circuit breaker or fuse will not only provide short circuit protection, but if sized right, it will also provide overload protection. This is helpful if your winch motor is getting overheated and starts pulling more current. The best thing about the breaker, is that it is re-settable. usually, if the manufacturer has provided the breaker, it will be matched properly to the motor load curve of the winch. Breakers are generally classed in different "trip curves", depending on the motor or load being used. This is basically a set of constraints that identifies how many amps for what period of time the breaker will withstand before tripping out, and thus breaking the circuit. This is a "curve" though, not linear, so the current rating changes with time. Out of curiosity, what size did they include? Check the back of the device to see if it has a trip curve indicated.
Just my 2cents.
FTM