we've been riding the onewheel for over 6 months now, mostly in germany (Berlin & Bochum).
So far, the only notable thing the police did is stopping us and asking us some questions. They are just curious (like everyone else) and always friendly.
But we're also 'lucky' - we haven't done any damage, because we're cautious when riding in public and avoid riding through pedestrian zones (apart from nighttime).
You're right about the insurance thing. Whatever you do, be prepared that no insurance will cover damage, and with the heavy board and its speed you can easily damage people and things around you.
Technically it's not illegal, it can be considered grey zone as the lawmakers have yet to pass a law on this. At least this is what we learned from a lawyer, and have some buddies who work in the certification business. That said, german regulations might also ask for some "improvements" of the board - good ol" german bureaucracy.
I guess as long as we're dealing with only a handful of germans with onewheels (We actually never saw another one), it will take some more time until there will be more clarity.