Working as a photographer is not usually dangerous or harmful but I have insurance to protect against the very unlikely, the very unlucky and "the other guy". From the venue's point of view, I could be "the other guy" so it's a relief to all involved that everyone is covered.

Although insurance is not a legal requirement for photographers it can be a contractual requirement — you could find yourself in breach of contract with your venue or non-compliant with your wedding insurance if a supplier lacks appropriate cover.