Yep, you want one as close to the battery as possible. That one (and the wiring to / from it) has to handle the current drawn by all the accessories that could possibly be in use at the same time.
The wiring supplied with your individual accessories, will only handle what that accessory needs. So if that accessory needs 0.5A max, that's all the wiring will cope with (plus a bit for contingency). Now suppose that accessory fails, and shorts through somehow - if it doesn't have its own appropriate fuse, the only thing protecting your bike is the fuse you've put in as close to the battery as you can. Which is likely going to be 20A rated - and the little wires supplying your accessory will potentially go up in smoke. so you need that accessory protected by a 1A fuse, which will blow much sooner than the 20A, and protect your bike.
The wiring supplied with your individual accessories, will only handle what that accessory needs. So if that accessory needs 0.5A max, that's all the wiring will cope with (plus a bit for contingency). Now suppose that accessory fails, and shorts through somehow - if it doesn't have its own appropriate fuse, the only thing protecting your bike is the fuse you've put in as close to the battery as you can. Which is likely going to be 20A rated - and the little wires supplying your accessory will potentially go up in smoke. so you need that accessory protected by a 1A fuse, which will blow much sooner than the 20A, and protect your bike.