Sparking when? Just when you connect or disconnect the fuse? or at other times?
That fuse is a permanent live. The battery is connected to the engine bay fuse box, which feeds that fuse (and one other I think) via brown wires. The purple wires then go off to feed other stuff that needs to be working without ignition being on (Interior light and horn being two of them).
Without knowing anything about your alarm, I'd say its either taking its feed from that fuse (because the alarm needs to work when ignition is off), or is using a point further down that circuit it to sense when the doors are open (i.e. opening the doors causes the light to come on, so some alarm systems use a current drain across the interior light to detect if someone has opened the door).
I'd guess that your alarm has a built in battery, which is why it is making noises. Basically it is telling you there is something wrong with that circuit.
A small spark across any fuse when you pull it or replace it is quite normal and nothing to worry about.