It will also make the house unsaleable. Any solicitor will check the planning status, and if it's in multiple units without planning there's no way you'll ever find a buyer. Plus, if neighbours object (as they reasonably might), you'll have enforcement notices coming out your ears, and may have to reinstate the house as was.
But to answer your question, haven't done it, so I haven't a breeze what the insurance implications are - but (for the reasons above) I'm certain it could be very costly indeed.