The most important thing is the following: make sure that any exposed metal surfaces of your printer are properly grounded. This includes the frame if it is made of metal, or the aluminium plate you might use as your heated bed. In the event of a fault, having the metal surfaces grounded protects you from getting shocked when you touch the printer. If any surfaces are aluminium, be aware that the oxide layer that forms on aluminium does not conduct very well, so make sure that you get a good connection.
You should consider adding a thermal fuse or bimetallic switch to the heated bed so power gets cut in case the bed overheats (to protect against the relay failing closed or firmware errors).
In principle, if the wires used are thick enough (capable of carrying at least 16A), then there is no need for a fuse. Assuming you are in a normal European household, then the mains line will already have a 16A fuse. If your printer connects to the mains using a IEC C13 connector (kettle lead, very common) then you should have a fuse rated (at most) 10A somewhere because this is the maximum rating of the connector. For a very small amount of added safety, you could use a lower-rated fuse instead (for instance 7A) but this is not required. Your heated bed can draw up to around 5A so you can't use a fuse lower than (or equal to) that. If you are indeed using an IEC socket to connect your printer to the mains, then it might have a fuse holder (or try to find a socket that does).
Your image suggests two possible fuse positions. It would be advisable to place the fuse near the live/hot connection, but as European power sockets are non-polarized, this is essentially a moot point.