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- Is a 15A fuse (or a fuse at all) necessary for a PID box?


You need the action to be set to “heat” or “reverse”, depending on the controller.
It looks correct from the part number and the manual I can find online. I would expect there to be the out1 light lit when it is feeding the SSR.
Is the light on the SSR showing when out1 is lit, or are you not getting out1?
Read the voltage at terminal 3 and 4 on the SSR, then read it on terminal 4 and 5 on the PID. If you have voltage at the PID, but not at the SSR, you have a bad wire … replace the wires. Your earlier check makes it sound like the positive wire is bad.
If the SSR is good, there should be continuity between terminals 1 and 2 when there is voltage at 3 and 4 remove all power wires when taking this reading). As an experiment, remove the SSR and connect it to a 12 volt power supply ( a battery charger, etc) and see if the light comes on. If it works there, go back and see why the voltage from the PID isn't doing the job.
I just let my mind wander and it occurred to me that the you may not be reading the real output to the SSR. There is always a floating voltage, but it has no amperage. Normally this is around 5 volts at a few Ma. The output on the SSR terminals when the power is being applied from the PID is usually 24 to 30 volts at 40-50 Ma.
Other things that crossed my mind:
Are you sure there is voltage on SSR terminal#1? It should read 120VAC to ground at all times. Is there any voltage on terminal #2 when the PID output light is on?
Right off the hop, I need to ask why is a white wire connecting SSR term nr.1 ?
I Realise diy folks may use goofy colour or switching schemes and that white possibly an ungrounded conductor...
But thats not consistient with professional practice and hinders a show & tell internet troubleshooting session.