Should I be concerned about using off-the-shelf inductors in high-voltage switching applications?
The answer is yes.  Your list of concerns is good (insulation breakdown, winding approach) and I would add to it the clearance between the terminations/leads of the inductor, including any exposed wire between the winding and the component lead that is soldered to the PCB.  This is probably not a huge factor, since the L you choose will be pretty big and the leads will probably be spaced far apart, but depending on the winding style, you might wind up (ha!) with the terminals next to each other which could allow for leakage paths or arcing.  

This article from Coilcraft explains some of the reasons why voltages aren't specified for inductors and echoes the concerns you've already raised for a high voltage application.