While not exactly new information, we've received a tip from a user of Kaspersky. When inquiring about Kaspersky not working with Insider builds of Windows 10, the company responded that their policy of not supporting them isn't new.
"Kaspersky has never supported beta builds or preview versions of any operating system and it's very unlikely that this will change, as we cannot guarantee the stability of our product on such builds. As a result, the chances of our product supporting such builds in the future is to be honest extremely low.
We absolutely respect your decision to continue using the Insider preview build and uninstall Kaspersky instead but in such a case there is not unfortunately anything further that we can do."
Kaspersky points out that because Insider builds aren't stable that they won't support them. A similar sentiment was said by Microsoft themselves in a forum post. On that forum they state that "You likely won't see a fully supported version of Kaspersky until Redstone reaches general availability, which is in the second half of this year. That's if you don't like it, its best you stick with a fully supported stable build such as the Windows 10 November Update."
Our tipster points out that because of this, users on insider builds are only protected by Windows Defender and that they should be warned of this before jumping on the Insider program. While Microsoft is clear on the risks of an Insider build, one example is them saying "if you think ISO is a yoga move the program may not be for you," some seem to think that side effects such as Kaspersky and similar programs not supporting insider builds should be made more clear.
Thanks for the tip Brian!