That is interesting. The only fuse supervisory devices I've seen are certain types of fuseholders for car fuses that has a LED in parallel to the fuse socket so if the fuse blows the LED lights.
Basically the same idea, only they could use a optical isolater, which is just an LED and phototransistor sealed in black epoxy to keep external light out, and when you turn on the led the phototransistor will conduct power, and wire the output up to your beeper or what ever and if your playing with DC, the optical isolater also comes in an SCR format which will latch on activation so you have to manually reset it if needed...