Should connect a wire from the sled itself to a grounding point behind the dash ??
This is not necessary from the point of view of safety -- that is, keeping your stereo system from setting your car on fire.
However, it may prove beneficial in terms of audio signal -- it may alleviate a ground loop problem, for example. If you are not having signal noise problems, then you don't need any additional grounding. Since the sled is already grounded through the wire harness connected to it, any problems that go away when add an additional ground to it would indicate a problem in your wiring harness.
For a very definitive discussion of fuses (going back to the original topic), see
here.
tanstaafl.