Why is the insurance fee not refunded if an event is cancelled?

The insurance is concluded between you and the insurance provider. Eventfrog is only the agent in this case.

Furthermore, the insurance does not apply in the case of cancellation by the organisers, as they are not contractual partners.

You take out the ticket insurance for yourself and it is liable if you are unable to attend the event yourself, e.g. because you are ill and can present a medical certificate.