It's generally quite the opposite. It's employer regulations hiding the cost of insurance from you. There is nothing stopping you as an individual from buying disability or unemployment insurance.
But insurance typically has a negative expected value. With perfect efficiency the expected value is zero; probability of claim times payout from receiving claim equals average premium. Then you add the costs of administration and insurance fraud and it goes into the red. Whether the peace of mind from having the insurance is worth that cost to you is your own decision.
Requiring employers to provide it does two things. The first is that it hides the cost from you. The employer is a corporation and corporations don't really pay for anything, employees, customers and investors do. It'd be nice to think the investors are paying for it, but the kind of employers who hire unskilled workers are typically not in high margin industries. In practice it's generally going to be the workers and customers. And then people ask for more and more things like that, thinking someone else is paying for it when it's really still them.
Which leads to the second problem, which is that when it's required you can't decline it. If some double digit percentage of the people on unemployment are committing insurance fraud, you may be better off to just put the money you would have paid in premiums into a brokerage account to rely on if you lose your job, but you no longer have that option. You no longer even realize its cost, because you never receive a bill for unjustifiably high insurance premiums, you just get paid that much less or pay more when you buy stuff.