I doubt there's insurance on the paperclips themselves, but I suspect that having associated them with something generally considered sacred-ish will do a better job of keeping them safe than an insurance policy in any case. It's unlikely that anyone will bother to overcome the taboo on destroying sacred sites to steal or damage them, and if someone does, I can virtually guarantee that the story will be in the news and more paperclips will be donated to the project - possibly several times the number of paperclips that were stolen.