They don't ask directly, but they can find out.
There are rumors of proprietary studies where insurance companies have made the analysis of "vaccination" status and mortality rates with large enough sample sizes to make definitive conclusions.
Plainly stating that the "vaccinated" have much higher all-cause mortality rates than the "unvaccinated" is politically unacceptable, though different insurance company executives have repeatedly hinted at exactly that. They know there is a big problem. Their actuaries can tell them to four decimal places how big the problem is, and where it is coming from.
What the insurance companies have done is raised group insurance premiums for everyone by substantial amounts, and reduced life insurance coverage payouts. Follow that money. The insurance companies are not in the business to lose it.
If life was fair, the insurance companies would treat the vaccinated the same way they do tobacco users, and give the unvaccinated better rates. But we all know that will never happen.