Why do you think that?
Just tell them, if you feel so inclined. Personally, I'm not sure I'd bother. Plenty of vehicles come with switches to deactivate the airbags these days, you don't have to tell them every time you turn that off.
How many people replace their steering wheels with non-airbag ones? Again, no issues at all.
nothing - other than (misguided ) assumption - your average insurer will use anything to not payout in the event of an accident