how is the cause even relevant for a health insurance?
I have a feeling most insurers would want to charge a higher premium to someone with a history of freezing their own legs off. I doubt they have data to support it, but it’s not unreasonable to expect there’s a higher chance that this guy might self harm than the average person. Or require mental health support.

Disagree. I’m not from the US, so maybe guns being seen as fun is more of a cultural issue in not aware of, but plenty of weapons are seen as fun here in the UK. And while we do have gun crime, I think firearms are seen differently here vs the US.
People will go axe throwing for fun. With Scouts, we shot air rifles on camp a number of times (supervised by people who knew what they were doing). Knife throwing is also a thing. Clay Pigeon shooting is also not uncommon here.
I genuinely believe using a weapon on a (non-living) target is fun for a lot of normal, well adjusted people.