If your wiring analysis is correct and the neutral is fused, this is most certainly atypical. The hot is fused to prevent a ground short from burning out the appliance and is the reason that a grounded neutral or reverse-polarized electrical plug can be dangerous. Fusing the neutral would not prevent this, which is exactly why the breaker tripped instead of the fuse blowing.
As for why it was done this way? Beats me, unless it is an error. Have you considered contacting the manufacturer? It may simply be an oversight in the U.S. wired models.
In a perfect world, with perfect electronics, there would be no need for a grounding conductor. It's there to deal with imperfections. The most likely case for a ground fault in this installation would be if the black conductor lost some insulation and shorted itself against the frame of the fan. In such a situation, the casing could become electrified, and a grounded person, touching the fan body could receive a shock.
If it were properly grounded, you'd get a short circuit to the ground wire, and the breaker would trip.
However, the fan is mounted to the ceiling, and the possibility of someone touching it is low. (Unlike, for example, the frame of a fridge or stove, where human contact is part of normal operation.)
So, Is it safe? Quite likely. For added safety, turn the wall switch off when changing bulbs. Is it to code? No. -- Unless, as others have suggested in comments, the mounting box is grounded on the other side.
You can however, locate the breaker, and replace it with a Ground Fault Interrupt breaker, which would trip should a ground fault occur. This isn't something you should do yourself unless you have experience working in the panel.
Another possibility, if your switch happens to be chained off of an outlet, which is quite possible, depending on the routing of the wiring on that circuit, is to replace the outlet with a GFCI outlet, and wire the switch to the load side of it.
Best Answer
So it sounds like the AFCI breaker did its job and saved you from a potentially nasty jolt. The AFCI detects the arc (i.e. your metal drill bit contacting the live wire) and cuts the power.
If the wire wasn't severed, you can probably get away with just wrapping the wire in electrical tape and then wrapping the whole scar. If the wires were severed, you can use an inline splice to reattach them without a box.