It seems terribly inefficient to require fuses in every plug even when the electrical wiring may not need them.
Now that is inefficient!
This 1994 legislation made it the law that plugs must be fitted to certain consumer devices: http://www.legislation.gov.uk/uksi/1994/1768/contents/made
Before that time, almost everything (certainly everything I purchased) came without a plug and you had to buy a plug and wire it yourself. Probably because these things are expensive, and costs could be reduced by leaving them out.
I'm not certain on the exact motivation, but I think it's a mix of preventing people doing it wrong, and better mechanical properties (especially strain-relief) of moulded plugs.
It's also required now that the live/neutral pins be partially insulated (the 1/3rd closest to the plug or so) to prevent shock hazards to people curling their fingers around the plug when inserting or removing.
I remember us having to wire up kettles, lamps, and irons when I was a kid. And you'd sometimes go to antique (or second hand) shops and come across old appliances that had no cord attached. Anecdotally, we bought an old style telephone that we then had to wire back up.
That being said, I can't corroborate any claim that this was backed by legislation.
I have no idea how many sockets are installed in UK houses and how many plugs are fitted to UK equipment but a new plug / socket design would have to be God-Tier to justify the cost of replacement.
Also, I've seen people wiring plugs and it's sometimes scary, so anything that avoids the need for many people to botch a new plug onto their equipment is a good thing. And I guess this is where most improvement has happened - plugs that can be built quickly, cheaply and safely in Chinese factories for use in UK. You can change the fuse, but the plug is molded and you can't take it apart.
The IEC 60906-1 design linked by ricardobeat above, for example, can handle 250V at 16A and is way smaller and more compatible with other european standards. It was designed in the mid 80s, taking advantage of the new injection molding processes popularized in the late 70s.
I was wondering if there were any other designs that took advantage of the newer technologies since: I seem to recall a concept plug designed by an art student that was on HN a few years back that folded up rather neatly: does anyone know what happened to that?