You are right that if the exchange itself is an exit scam, then the insurance is useless. However, no major insurer is going to offer insurance without doing extensive due diligence on the exchange. For instance, we have undergone a multi-month evaluation in order to be considered by underwriters. Simply being insured by one of the major brokers, like Aon or Marsh & McLennan, is a pretty solid stamp of approval that the exchange operators have been vetted and the security protocols examined.

The insurance for an exchange is intended to cover the cold storage funds and protect the exchange—and by extension, users/investors—from theft via hacking, employee theft, or even physical theft. If the exchange is insured, and a theft from the cold storage occurs, then the insurer will reimburse the exchange who will then provide the funds to users/investors.