You need *a* fuse, but there are a couple of factors to determine if it's better to go through the panel or direct:
* Is the in-line fuse closer to the compressor or to the "battery" end of the wiring - it's useless if it's too close to the compressor to prevent smoking a wire if the short happens "upstream" closer to the battery, fuses need to be as close to current source as possible
* Does the feed from battery to panel support the total current you need? (i.e. if you wired the blue sea panel w/ a 30A cable but plan to pull 30A for the compressor, plus 5A for the fridge, plus 10A for the water pump, plus...)
* Do you have spare terminals on the fuse panel for now and the future?
* Would it be cleaner (and thus safer, avoiding wiring issues like chafing or shorting) to wire through the panel?
* Does your battery have a terminal setup where you can safely wire directly to it without using flaky "add-on" connectors or splices?
* Does the inline fuse use the same fuse type as elsewhere in your vehicle? (Or will you be carrying unique spare fuses just for compressor?) - a minor point but the kind of thing that trips my OCD
The name of the game is "AVOID ELECTRICAL FIRE". All other considerations are really secondary. So if one method or the other ensures you can better make appropriate and safe connections, then that's the method I would choose.
I have everything wired to my fuse panel, because the fuse panel is mere inches away from the battery - meaning that every run of cable is fused in a way to protect the wire from a short. If there were some weird situation involving running a ton of extra wire across multiple positions, then I'd consider connecting to a battery terminal, but you still need to sweat all the details to make sure it's safe.