When I bought the euro lights, (Bosch H4 Hella) it said in plain English on the box they came in "For Off Road Use Only"
So, they are not DOT legal in any state, probably. Once installed and adjusted, though, they gave a far superior look and performance than the original DOT beams.
I would not worry about them. I have never heard of citations being issued by the state troopers for them, probably they don't even know the difference.
It's not likely the insurance companies know about them, or would deny coverage because of them.
You should keep them, after all that hard work and Ernesto's great advice to help you get them installed, it would be a shame to get rid of them.
Once you have the beam pattern just right, the night visibility is so much improved over stock, it could help you avoid an accident, like a deer running in front of the car.
A little bit of discussion on the legality
http://forums.vwvortex.com/zerothread?id=3055998