The most notable exceptions I find are Japan and Singapore, where it can be purchased without an Rx.
As for other developed countries, they typically have universal healthcare and the patient does not need to pay for CPAP devices. Regardless, insurance and prescriptions are orthogonal.
From the website you linked:
> All CPAP machines require a prescription for shipment. Details of submitting a prescription are provided below. If you have any questions or concerns, please call us toll-free at 1-855-542-2727.
Here is an example of what I found:
> Do I need a prescription to buy a CPAP mask?
> You do need to provide written confirmation of CPAP suitability when ordering a machine, but this is not required for a CPAP mask.