Like the others have said, your car acts as an enclosure. Almost like a bandpass. You will probably notice that its more the lower notes that get louder while the 45+ hz may not. (At least for me anyway)
It's not necessary to fuse in between the alt and battery but it's good for safety and can save you a lot of money in the case of a short. Depends on what your wire is rated at for the fuse, usually 300a is what is used.