It appears that moped alternator outputs are matched to the load. Dan is right that after one bulb burns out, the other will soon follow because the decreased load results in a higher voltage to the remaining bulb. A fuse would not help this problem as this one bulb is not exceeding the normal current flow from the alternator.
On my Motobecane, the switches actually short the alternator output to ground when things are turned off. The turn on by removing the short to ground so I am sure the alternator coils are self limiting.
As an aside, it does seem that if you measured the headlamp and tail lamp current carefully, you could install a slow blow fuse on each circuit that would blow if the other bulb went out. Of course, blowing one fuse would cause the other fuse to blow so mayby carrying spare bulbs is the way to go. : )