As I understand it, spikes in an electrical system are actually voltage spikes, not current spikes, which means you shouldn't need heavy cables to carry them (the heavier cable, the more current it can handle, but small wires like on the spike protectors can still carry ten's of thousands of volts if it's at bugger-all current), so the light gauge wires shouldn't be an issue. I don't think the physical size of the unit should matter either really, based on my theory as follows...
In 240VAC spike protectors, the best units out there use MOVs (Metal Oxide Varistors). These are only very small devices, but are effective at absorbing quite large spikes/surges. (NB. any spike protector is a self-sacrificing device - if it absorbs too big a spike/surge, it will be destroyed, but will still usually save the circuit it's protecting in doing so - this is why I like unit's like the Matson ones which have a flashing light to indicate it is working. If the light stops flashing, you know it's absorded too many/too big a spike/surge and needs to be replaced (or your battery's too flat :) - without the light, you never know if you still have protection). I think they can be so small because it's simply just a variable resistor basically.
I think how they work is; As the voltage goes up, the resistance goes down, so when you get a sudden increase in voltage, the resistance across the terminals decreases enough that the amount of current being used goes up and therefore pulls the voltage back down. This usually happens very quickly and breifly, so large current usage/heat dissipation is insignificant.
Your point about the unit shorting the battery terminals if it fails is a good one. I dunno if they're fused internally (I think they pretty much are due to the nature of the circuit being able to act the same way as a fuse (?)) but I muy put an external fuse on anyway like you suggest. Have to find out what fuse wouldn't affect the unit's operation, but you could just go a pretty big fuse anyway.
Sorry for rambling on :) I just like sharing opinions and figuring out how this stuff works. Please note: all of the above opinions/theory of mine is pretty much a guess and may be in no way accurate. I won't really know until I pull the units apart I spose.