Remember that the purpose of the ANL fuse is to isolate the alternator in case it shorts internally. When that happens the battery will try to dump a couple hundred amps backward through the B-lead into the alternator, and the ANL should pop to remove that short circuit. Think about wire heating and insulation in that case - do you really want that inside the cabin?
Put the shunt where you prefer, but please put the ANL fuse on the hot side of the firewall, with as short a lead to the alternator as practical.