Is retroactive approval possible for an extension over the garage?

Are there chances for retroactive approval (NRW, no development plan)
as it is

Unlikely, but possible if the neighbor's house is more than 5m away or the walls and roof of the garage comply with §30 and §32 of the NRW Building Code and the neighbor agrees.

as a hobby room after dismantling the wet room and kitchenette

"Hobby room" is an unspecific usage designation, so it is always regarded as a living space. You might get away with "sauna," and for "storage room" I see no reason for rejection as long as the other conditions of §6, paragraph 8 are met.

Could it be reported by neighbors at any time?

Yes.

Does it make a difference whether the room is used or the access has been sealed off?

Maybe. If no other hazards arise from the rooms, one could assume a self-imposed usage ban, so that further official measures may not appear necessary. But this is very theoretical, since who would monitor that the sealing off is not reversed.

Would one possibly have to pay a fine or "simply" dismantle?

Yes. Which measures the authority imposes is at its proper discretion. Anything is possible.

How does it look insurance-wise if the house catches fire for example... could the insurance refuse payment?

Yes. But that depends on the exact insurance conditions and the effects of the unauthorized construction on the damage amount (keyword increased fire load). If the fire starts in the unauthorized construction and the neighbor is harmed, it looks very bad.

And if not, who could advise us on this?

An architect, a specialist lawyer for construction law and a specialist lawyer for insurance law.