I quite like some Michael Moore stuff, but he's never really been one to let the truth get in the way of a good story.
A couple of points that make me quite skeptical about this story.
Firstly, insurance companies only stay in business by taking in more than they pay out. So whoever is providing Wal-Mart's insurance (if anyone is doing that) has to think that it is a good deal too.
Secondly, a company the size of Wal-Mart would probably be better off self-insuring for stuff like this. In other words they have so many employees that there are bound to be a number of them dying each year and that this will average out (which is what insurance does) so make it not worth paying an insurance premium.
So, FWIW I think the story is bollox.
They may have key person insurance for a few people, but not for the whole workforce.
But if you really don't like the sound of this, don't shop at Asda.