Since some people have been getting replacement parts for this year's toys (not sure if they had "insurance" though), the details on what their Insurance covers...

Insurance includes delivery confirmation and signature required if available.
** If you elect not to take the insurance offered we have no responsibility for replacing lost, damaged, non-delivered or misdelivered items.
Looks like the terms relate to postal insurance, so I think the "damaged" means from transit... so if you didn't elect to have insurance, you should still be covered for a faulty toy that wasn't obviously damaged during shipping.

For this year though, it is probably recommended getting insurance anyway, because if you lose one in the mail, it is likely to cost twice as much to buy a replacement later (based on BBTS prices, which will set the trend for minimum secondary prices like on ebay).