As Kuki stated, the prices are cheaper in Sept. because there is not as much demand. You'll also find cheaper prices in the first of Jan. for the same reason. This is when we normally cruise.
September is the peak month for hurricanes. Normally, cruises aren't cancelled due to hurricanes but they are rerouted to different ports. If you are dead-set about seing a particular port then I would not recommend cruising during hurricane season.
Insurance will cover your expenses if you are unable to cruise due to illness, family medical emergency, cancelled trip, bankrupt cruiseline, or other events. Mostly things which are out of your control. Also, and this (in my opinion) is the biggest reason for buying insurance, to cover your medical emergencies while on the cruise. Most all personal and company insurance will not cover you outside of the U.S. so if you are in Cozumel and trip and break an ankle and miss your ship and have to fly home you will not be reimbursed for your expenses unless you have insurance.
I read on these boards where a woman had to be life flighted off the ship and the cost to her for the transportation to shore was $12,000. She had insurance and didn't have to pay for it.