What happen if I don't do the recovery week from Insanity?

You simply won't get the most out of the program. The recovery week is not really about recovery, and it's certainly not an "easy" week that is going to slow down your weight loss goals. It will suck just as much as the regular weeks, but the intensity will be lower. The recovery week is really about managing the plateau you will hit in week 3 or week 4 that will hold you back from improving more. It's similar to the concept of "deloading" in weight lifting or any type of progressive training. When you hit a plateau, you lower the weight/intensity/duration/whatever for a bit and then make another run at breaking through the plateau. Obviously there's no Shaun T looking over your shoulder telling you that on day 23 or whenever YOU SPECIFICALLY hit that plateau, so they just programmed it in the middle where most people will have hit it by then.

Don't skip it. And good luck.