The liability coverage for your motorhome extends to anything it tows, but the collision and comprehensive do not. However, most motorized RV policies have coverage for "personal property" attached to or carried in or on the RV and might cover a dolly while in use with the RV. Probably not if stored away from the RV, though. Personal Property coverage usually has a fairly low dollar limit too, perhaps $2000 total, but that can be increased at a small additional premium cost. It's a fuzzy situation at best and probably not a very reliable sort of coverage.
We used a dolly for about a year and didn't worry about insuring it. The value was only about $900 and we consider our risk of loss to be very low. That might not be true if you live in a metro area or store the dolly in a remote lot, but we live in a rural area with RV & dolly in our yard, and the dolly was on our campsite (partially under the coach) when camping.