I think most states require liability insurance. No matter how, or where you ride.
I have seen nothing that requires sled insurance anywhere. But my mtn sleds only get ridden in the mtn states. I do not off trail ride in the midwest. I am confident that Wyoming and Montana do not require insurance because it wasn't even offered when I rented a sled in Cooke City.
Don't get me wrong, when Im out west I travel on trails as little as possible. And my sleds are set up for off trail, they absolutely suck on trail. Not to mention most trails where I ride out west are never groomed. Speed is usually in the 10-25mph range. With a 163" track I can stop in about 3 ft. If I get into a collision out west on trail, its because somebody hit me.
Like I said, I do carry insurance on my midwest trail sled.