Just a guess. I checked my Haynes manual and for 94-98 models, there was is a fuel heater on the block above the starter. A relay allows fuel to get heated if fuel is below 40 degrees.
The manual says it changed in 1999 and later models, but basically operates the same way kicks on at 37 and off at 53 degrees. This is different than the intake manifold air heater (grid heater), which signals that "wait to start" light in your dash.
The fuel heater needs 7 volts to operate, and runs 12 volt, 300 watts at 0 degrees.
The manual also says that the relay is in the power distribution center. On 1999 models the fuel heater is located on top of the fuel filter housing and on 2000 and later models is on the side of the housing.
Hope this helps. If it were my truck, I would put in a fuse and see what happens. Good luck
Edit: Just read Nate Skate post about his fuel heater burn, posted a few posts below this one. More good info.