That's how my car was when I bought it, so I pulled it out and replaced it with a self resetting circuit breaker.
It will trip with a short and then come back on in a few seconds, but with a constant dead short it sounds sort of like a signal flasher. :D
I have never had it happen on my car, but I have on others before they could get the battery disconnected.
Never burns anything up though because it just shuts off if the short is still there.