I have not used track insurance. When I started for a long time my normal policy would actually cover it (policy language stated no events that are timed or scored) so didn't worry. When I changed insurance and their policy specifically stated no coverage on any surface used for racing I was pretty comfortable on track and as you said it was expensive, it's based on car value too so when I priced it for the TTRS I was like DAYMN. Actually one of the excuses, I mean reasons, I gave to the wife to let me get the Golf R for a dedicated track car.
Even then, most track insurance polices are really just for if you wreck the car so bad it's a goner, they have very high deductibles usually. If you just rub fenders and crumple some metal it's probably only a couple thousand and under the deductible. So it's not like it's a magic shield.
I've done over 60 HPDE track days, I have seen 1 wreck (3 cars ahead of me, got it on camera lol) and I have had 1 close call (also on film). Both cases would have never happened if the driver had just let the car go off track and collect it instead of trying to "recover" and get back on track immediately.
It comes down to personal situation. Are you literally tracking your DD? How confident are you in your ability to control the red mist when that helmet slides over your head? What group are you on track with? I have done most of my days with NASA (National Auto Sport Association) in the CA, Rocky Mountain, and Central/MidAmerica regions in addition to crossover events with Texas and Mid Lakes. They are a solid organization who are dedicated to safety and learning. I mean, if two race cars touch during a race they have to fill out a form and go before the Director to explain what happened. If you touch in HPDE it's probably the end of your season and at least the weekend.
I have not done many sessions with Track Day groups, though I will be going out with Chin Track Days this year to get extra seat time at Ozarks. As I said, get a feel for them, how they run the event and what they allow or don't allow to happen.
My personal opinion is if you are in the lower HPDE groups (1 and 2) it's unlikely to be an issue. There's always the chance of that Yahoo who thinks he's Hamilton in a Subaru but there's very little side-by-side in those groups and it's all super controlled just passing in straights not hammering doors. When you get the HPDE3 there's corner passing with points so again very controlled, they know you will be next to them cause they pointed you to go there.
It's HPDE4 where I really started to think about insurance but for the most part I know the other guys that are out there with me and how they drive and that they aren't morons. When there's someone new I can get a feel for them in one session and roll through the pits to space away from them and stay clear lining up the next sessions. Of course, I am now pushing harder because I plan to go into Time Trials, hoping to have the budget for it next year and will be trying it out the end of this season. I never once left the track in all my days with 1-3, not once. My first year in HPDE4 the last event I went four-wheels off in the grass.....twice. Hey, it was a track I've never been at before and it was raining and wet LOL I went two wheels off at Ozarks last year once, just looking to find that limit and squeeze another tenth. It's that push to the next level where you are looking for the limit, and you will eventually find that limit.
That said I still run without insurance, but while I would be extremely sad if anything happened to the R I do have other vehicles, and a trailer......and I work in a body shop.