That idea is really good. You never can be 100% safe. And all the banks and other exchanges have similar insurance-institutions.
It's kind of a start, but who is going to validate that the Exchange is using secure practices in their systems and their coding standards? Who's gonna run a thorough PEN test to validate the Site is solid? Who is going to make sure that theses exchanges actually treat transactions fairly, don't front run their clients, aren't getting paid off to let certain big traders aren't allowed to jump the orderbook, etc...
Insurance comes after there is a way to make sure the sites are secured and the consumers of these exchanges are being treated fairly in every way and not stolen from behind the scenes.
Put it this way... either do it right or don't do it at all.
Insurance is a scam, and it is... that is what you are saying in essence... I completely agree bro, you are smart man