Worth doing no doubt, unless you want to believe that Weller is so-o-o confident that yours will never become toast for any reason,
with anti-Murphy properties embedded in the windings
Mine is an older model and recently added primary and secondary fuses, after determining the correct operating and surge fault values at both ends
If you don't get the fuse values and blow type right, it's a waste of time and money, because you'll either have nuisance fuse blows,
or the transformer will cook n crackle nicely to protect the fuse
or you can post it to martin1454 and let him take the risk while you beg borrow n busk,
and beg and borrow some more, for another quality unfused soldering station...
i.e. nothing wrong with Weller stuff, as with some other brands they drop the baton near the finishing line sometimes
and we have to solder in a simple 'update/upgrade'