If you have the kind of PSU that lets you pop out the fuse ...
Unfortunately, every PSU that I have opened had a pig-tailed fuse soldered to the PCB. A pig-tailed fuse is less expensive than a fuse and fuseholder - maybe by just pennies, but in a large production run, pennies add up.
Back to your original problem: plugging a PSU set to 230 volts into a 115 volt outlet will not damage the PSU. It just won't work. The converse, however, is not true.
I think that you were just unlucky that the PSU chose that moment to die.