Wombat, a wise man once said, "If it ain't broke, don't fix it", but I don't think he ever owned a Vintage Speedster.
I have, in fact, experienced fire in the course of my ownership. At least, I think it was fire. By the time I got my head under the dash, only smoke was curling out of the headlight switch. Being the cautious sort, I replaced the switch and did some rewiring anyway.
While I'm surprised to discover the turn signals aren't fused (and you're right, they should be), I don't know of anyone here who's had them fail. But headlight switch failure is common.
Here's a simple test. Sitting in the driver's seat with the headlights off, put a finger on the back of the headlight switch (under the dash). Turn the headlights on and see if the switch gets too hot to touch. If it does, it will likely fail pretty soon. You might first see if it gets too hot with just the parking lights on. The problem with my switch was the circuit that dims the instrument lights. In any case, it's a good idea to add relays to handle the heavy current to the headlights, moving that load off of the switch.
And no, I don't know of any reliable wiring diagram for the VS. It's pretty simple, though, and you can figure most things out without one.