Many (most? idk) governments that employ the cops (city, county, whatever) do have insurance for this, and grant police qualified immunity. There are some attempts to hold cops liable as well - https://leg.colorado.gov/bills/sb20-217. The City Council in my town immediately restored qualified immunity for their police. Don't underestimate the level of absolute blind support for cops that exists among the US population.
They did not say governments should have legal insurance. They said cops should have malpractice insurance. Insurers calculate individual rates and want profit.