Besides the insurance issue.....
I'm fortunate enough to have a solid diagnosis. I've heard a lot of gluten sensitive people on this board say that they would get too sick doing the gluten challenge and for them it wasn't worth it. They just treat it as seriously as a Celiac would. My mom is also one of those people.
Some people feel like they can cheat if they don't have a Celiac diagnosis. My sister is most likely gluten intolerant or Celiac, but she won't do a thing without positive blood work.