I might be wrong but that's what I assume. Maybe someone else can explain it, but once you drive onto private land the rules of the road don't really apply (or maybe they do, I don't know), and there's probably something in the insurance contract that means they don't have to cover you because of that.
As far as I know, the car is still covered on private land.
Otherwise going to a supermarket car park would mean you are uninsured?
I think PLI is only needed if the private land owner is deemed liable for the damage, like something on their property causes it.
So if someone manages to hit your car at FF, surely that is still covered on your own car insurance?