Its an interesting question... yes, we all know that batteries can erupt in flames under certain circumstances. The chances of this are significantly reduced with DJI's intelligent batteries as they generally stop you from abusing them too much (i.e. overcharging or overdischarging). You can ask the same question of other battery-using devices... why don't phones, laptops or even electric cars have fireproof battery compartments. I think its because the focus here is preventing the fire in the first place as opposed to somehow dealing with it if it does happen.
My personal approach is that I make sure I treat batteries right (whether intelligent or "old school"), make sure I store them long term at around 50-60% and always keep an eye out for signs of excessive wear (e.g. bloated batts, cells out of balance, holding significantly less charge than its meant to). Assuming batteries are in good condition then I'm not worried about storing/transporting them in fireproof storage.
Just my opinion of course!