Yes, you always lose a bit of money with insurance, but life isn't all about money, whereas the whole point of gambling is winning money. Insurance brings other benefits that improve your life.
What other benefits besides the money that covers the losses?
Same with insuring some painting let's say. You can get enough money to buy a different painting, but the risk of losing that particular painting is still there. If it is a unique painting and it gets lost, how are they going to repair the non-monetary value of it? They can't.
Hedging the risk of being shot by wearing armour sounds like actual hedging. Buying insurance against being shot sounds like just betting. The non-money part is exactly the difference, and it is missing in insurance.