I've done this several times in NY. As an officer of a corporation (two person partnership S corp) I was eligible for coverage under the corporate comp policy, but only in my capacity as an officer. If I was injured unloading a truck my claim would have been denied.
As a Sole Proprietorship, there are several instances where I might be required to have comp coverage, and a few where I am required to "opt in", but none where I am eligible for benefits. Additionally, having both comp and health insurance puts me in a position where both insurers could claim my injuries are the others responsibility.
No thanks.