I think you'll find all Police Forces are so risk-averse that not to insure their aircraft, most specifically against third party damage, would see them cutting out Air Support completely, before any accidents occurred.
Whilst risk management may dictate two engines, dropping a helicopter into a congested area in the middle of the night, (Cardiff) without insurance, would be regarded as a foolish cost-cutting measure by the local taxpayer, who would have to foot the, not inconsiderable, bill.
I think you'll find that the same third party insurance is in place for other Police vehicles, it's just the damage to the Police cars themselves that won't be covered by insurance.