This is a mail problem, not an Apple problem.
I disagree. If the OP received a label from Apple for the return, then as far as Royal mail is concerned, Apple is the shipper. The OP could not add insurance, and Apple absolutely should be insuring their returns labels... or assuming the risk of not doing so.
If OP had gone and "mailed it" himself, then I'd agree with you... but in the age of vendor-generated return labels, a receipt showing the item was handed to the royal mail (ideally indicating weight) should be enough.
OP: Can you open a claim with your credit card company perhaps? You may be able to do a chargeback given all of the paperwork you have in hand.
Luckily, here in the US I've never had an issue. I avoid the USPS like the plague, but whenever FedEx or UPS lost an insured package, they always paid out my claim instantly... no 60 day wait like with postal service. Furthermore, when vendors generate the label, I make sure I get a receipt, but like the OP... I have no control over the insurance as I'm not legally the shipper. In the case of the return label, the shipping company has no relationship or contract with the consumer, so the vendor MUST handle any and all claims. Luckily, I've never had this issue with UPS or FedEx return labels, but I'll definitely try to return in-store for any high-value items after reading this.