[BrianG]

I haven't burned one up (yet), but even though FETs by nature are somewhat self-regulating, they do have the potential to instantly pass huge amounts of current. This current can blow an FET in microseconds. You would need current limiting to prevent that. Thermal protections are designed to prevent a user from continuously running hot until parts melt or desolder themselves. However, thermal measurement is too slow to protect against instantaneous high currents. It's really a function of time.