I'm not sure about the DVLA, as it's technically not a colour change because the body work still retains the original paint colour underneath. It's like putting wallpaper up, it's still the same colour wall under it but you don't see it. As for insurance, always declare anything, even if it's a standard GTI option that wasn't on your car (for example, I'm fitting a leather interior in place of my cloth, I shall declare on insurance).
I'm sure a law must have been passed (quietly) about wrapping so well worth checking out. The law isn't worth messing with in the long run.