It's extremely rare for them to out and out cancel a cruise because of weather. What happens more often is that they're either modify the itinerary (and sometimes comp you, though I don't think I've ever seen NCL do that) or shave days off the sailing (and this will have them comp you). If they go for an out-and-out cancellation, they'll give you your money back.
Should you purchase insurance? Heck yes. There are a million things that can go wrong beyond just the weather, and that's a pretty big investment not to protect.
I know most people who do the Dawn are New York locals, so this might not apply, but on the off chance that you're coming in from out of town, there are lots of good reasons to purchase the insurance, because if you're flying in and your plane makes it to JFK as the ship is pulling out of harbor, or if you get to New York and your luggage doesn't. There are lots of different policies out there that cover lots of different stuff. Check out www.insuremytrip.com
, and you can compare all sorts of stuff.