I guess you haven't built too many weird projects and gone to Home Depot asking for random things to make random stuff with.
Side note, what exactly are you trying to get insured for? Liability, running somebody over, damage, theft? Because I doubt many people have insurance policy's on their tanks. That being said, it's probably a very good idea, should something bad happen.
I know geico, well at least they advertise it, will insure all kinds of vehicles. That being said, I didn't get a very good quote on my auto insurance from them.
Almost all fields require paintball tanks to have some sort of insurance on 'em. Usually it's vehicles with a VIN.