1. OP's underlying problem is that he wanted to change his ticket without paying the penalties for making the change.
2. Baggage is transported in association with the ticketed route. In other words, if you are flying AAA-BBB with a connection at CCC, your bags are tagged to BBB. If you want them tagged to CCC, that's a red flag that you are trying to pull a "hidden city" on the carrier and want an unpaid change.
3. Not only is the fee a way to discourage what OP did, but it recompenses KL for the expense of manually locating and retrieving the bags. In an automated system, it's expensive and causes delays and those costs ought to be on the pax who wants the special service, not part of everybody's ticket cost.
4. I certainly haven't reviewed every insurance policy available in every country, but I would be very surprised if a cost associated with a voluntary change is covered absent some provable outside issue such as a documented medical need.