It's not a big deal in (most instances). I don't think knowing someone has a policy on you is likely to change your diet and health habits.
Psychologically if you knew it might bother you that someone is basically "betting" you're not going to be around for many years.
I can almost imagine someone with a nephew who is 15 and "gang banging" might think it's a worthwhile "investment" to take out an insurance policy on them. The younger the person is the cheaper the cost of the premiums. Although it sounds callus they're just playing the odds. They may end up helping the family with funeral costs.
Generally speaking it's when someone you're in a romantic relationship or an ex-mate/spouse takes out a policy that raises eyebrows. Odds increase that they're looking to "expedite" your farewell. :)