The "why" typically is due to the VENUE, not insurance purposes.
Example: Nashville, TN area gun shows are in places such as the Fair Grounds, owned by the City of Nashville, which forbids loaded firearms on their properties.
Another Example: Williamson County Agricultural Center- owned by the County, and they expressly forbid loaded firearms at the Center.
Here is an example where it is ALLOWED in Mid-TN: Mid-South Guns and Gear Expo- http://www.gunsandgearexpo.com/attendee-info
"LOADED FIREARMS MAY NOT BE HANDLED at any time on the premises," even though you are allowed to carry with Permit. The primary concern with them is the accidental discharge...