So what are you proposing, to buy insurance for an ICO? Why would people do that instead of an escrow service that could be provided for the ICO? That would be more attractive than an insurance scam in my opinion.
Not only that which insurance company is going to offer that, we will need something close to rating agencies that rated icos, those that were legit will receive the highest scores and those that were not will receive the lowest and then you will need pay insurance based on that, since icos are very risky propositions no matter the score given, the amount you will need to be insured is probably going to be prohibitive so I do not see a whole industry being created for something like this.
How about scheme like this,
escrow accredited an ICO's legal and security, and then insure investors for money they invest in ICO?
ICO team do they work, investor have a good sleep, knowing his money work and don't spend on bitches and drugs)