Perhaps I'm just more cynical than you, but I believe insurance companies are, by and large, quite willing to take any excuse to not pay up. If you change the performance characteristics of your car, whether it's through an aftermarket add-on or a software update provided by the manufacturer, and if you're involved in any incident that might even remotely be affected by this update, there's a risk (not a certainty) that an insurance company will use that as an excuse to refuse to pay a claim. If that happens to you, then you'll be in for a nightmarish scenario. Chances are you'll have to go to court to get the insurance company to pay up, and of course they'll be much better able to pay lawyers to fight the claim. Even if you win, it'll be a hellish experience; and if you lose, you could be out tens or hundreds of thousands of dollars. The odds of this happening are low, but given the potentially very high costs, it seems foolish to not give your insurance company a call to see if they want to be aware of the modification. That takes just a few minutes. If you're right, and the insurance company says they don't need to know about it, then you should make a note of who told you this and when, and rest easy. If the insurance company wants to raise your rates a bit, then you can pay that extra and rest easy.
More broadly, people arguing in this thread that there's no need to contact the insurance company with information about a performance-enhancing update, it seems to me, are arguing from ignorance; unless you discuss the matter with your insurance company, you can't know how they'll react, if and when you have a claim to file after paying for a performance upgrade. Sticking your fingers in your ears and saying "la la la la la" very loudly isn't a good way to approach an issue with the potential to cost hundreds of thousands of dollars. Note also that different insurance companies might give different answers to the question, so you shouldn't take one person's experience as a guide to what you might face. A $2,000 software package that changes the performance of a car is something that's fundamentally new in the automotive world, so this is, legally and bureaucratically, unexplored territory. It's situations like this where case law gets made, and that means some schmuck who didn't bother to communicate with his or her insurance company about the upgrade gets pushed through the legal meat grinder.