In 25 years as self employed I was looked at only once by the taxman and that was because of a mix up over NIC payments.
The VAT man however is different
4 investigations in that time, and no amount of complaining to the VAT people was worth it.
That type of insurance isn't worth it, a good accountant will include problems in their annual fees for you, as you say you still have to find any extra tax/penalties anyway.
As my accountant used to say "always pay a bit each year, if your taking from them then they will get interested."