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This is because you cannot read or write fuses via the USB to UART adapter (Avrdudess, Programmer: Arduino).
You need an ISP programmer (in-system programmer) to do this.
You could use an other Arduino as an ISP programmer.
You can brick the micro controller by playing around with fuses and especially with setting lock fuses 
I have limited knowledge of all fuse settings.
You may find more detailed information about fuse settings here:
http://www.martyncurrey.com/arduino-atmega-328p-fuse-settings/
But it does not cover lock bits.
Maybe more information here:
(Move mouse to the fuse setting you are interested in)