There are many reasons to insure.
To protect the financial aspect is incredibly important. If you purchased the horse, mortality insurance allows you to replace that horse with a horse of equal quality should the horse die. If you started with a young or green horse, perhaps you increased the value of the horse as you added training or show experience. Insurance allows you to replace the animal at the current level and not have to start over.
Major Medical and Surgical Coverage, assist in the financial concern of being able to provide colic surgery, hospitalization or lameness treatment for the horse should they need it.