The issue is whether opting in is correlated with worse health. When one large company opts in, it's usually not because the company's CEO is himself sick: it's just a general policy decision to offer employees health insurance, and then thousands of people with overall "average" levels of health are non-voluntarily enrolled (the only way to opt out is to quit their job). But the decisions of individuals and small companies to choose or not choose to buy health insurance are much more strongly driven by their own personal health, with less-healthy people and people who suspect they're likely to have health problems soon more likely to buy in, and healthy entrepreneurs more likely to opt out / self-insure.
Large employer insurance plans are often self-funded, meaning that the insurance company charges administration fees but does not truly insure the plan financially.
Certainly small employers are worse at negotiating health care plans, but I'm not sure how much leverage they could possibly have in negotiations given economies of scale and switching costs.
(in a past life, I worked for a benefits consulting firm which specialized in union plans - one positive of how these plans operated was that they disclosed their benefits costs as $/hr rate per member.)
So I fail to see a legit statistical/risk-model reason why health insurers MUST gouge small companies/entrepreneurs.
I think it's mostly due to small companies having less negotiating leverage.