Yes, you should purchase event insurance even for a virtual event because issues can still arise at the venue where the virtual event is being streamed; e.g., property damage, bodily injury.
If your virtual event is a general event (non-performance), buy event insurance.
If your virtual event is a dance, musical, theatrical or other performance event, buy SOLO theatrical insurance.
Note: for virtual events that transact financial data, such as credit card information, there will be no cyber coverage if the information is breached.