Not a good idea mate. If anything should happen to your car and they see that, you're buggered & won't get paid.
It's alright saying "I'll take it out before they see it" but you never know whether you will get chance to...dependant on the accident/ circumstances.

Find out first mate. If your insurance is due soon then ring round and see if anyone will give you cover at no extra cost for having a roll cage. There is a lot more around nowadays regarding modifying and lots more people do trackdays and shows. Some insurance companies now recognise this and don't all think if you have a rollcage fitted, you're gonna take risks driving knowing a rollcage wil help should you roll your car. Lots of people fit them for looks only and some insurers recognise this & don't penalise as much/if at all as they maybe used to.