It's a great way to take measure of your own abilities, but it's also a great way to waste a small fortune after clipping the grass at a corner.
Matter of fact: insurance doesn't cover driving on that road, you crash your car, you pay the bill. And that's not just your own car I'm talking about either. You also pay for getting towed (which is at a premium) and if you damaged the guard rails, you pay that too. And that shit can rack up quite a lot of cost, too.
There are special insurance policies you can buy on the track though. They are expensive as fuck, but still better than being down a 5 digit sum for replacing some guardrails.
Every now and then, there's a video of a guy who drives some really expensive classic sportscar, loses control and barely keeps it out of the rails with maybe just small damage to a fender... and then some asshat in a brandnew BMW yeets that classic sportscar out of frame. I don't know if I should laugh or cry.
https://youtube.com/watch?v=N52BQ3TBj8E