Kaspersky has informed that they won’t be supporting Windows 10 Insider preview builds as the company has never supported beta builds or preview versions of any operating system. They detailed this info while replying to a user’s query:

“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.”

Microsoft has already replied a similar kind of reply when a question was asked by a user on the forum.

“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”.