Chimney connection - seems wrong to me, advice, thoughts?

Well said!

I agree with this statement. I would much preferred them to have installed a block off plate, however if the Roxul is well compressed and filling the void it will do an adequate job of keeping the draft down and heat loss at a minimum.

Is this something I can install with my insert and liner in place or do I need to pull it out (leaving the flex liner obviously)?

I've never installed a block off plate, but I might venture to guess that the best way to go about it would be to pull out the insert, push the liner up out of the way a bit, get your measurements, and cut a template out of cardboard, and transfer that template to a suitable sheet metal material. Then after testing that the new metal block off plate fits properly mark a hole the size of your liner in the metal plate precisely where the liner will drops through and cut it out. This last part looks like it would be a bit tricky in yours install because the liner comes down on an angle and would require that the hole be cut somewhat oblong. I think it would be hard to get a perfect seal, and would require some sort of gasket sealing material.

Perhaps Hogwildz knows a better way to install one?

I installed my block off plate with the insert & liner in place. Was not the funnest thing I ever did, but I was able to get the job done. Can be especially tough if only minimal space between top of the insert and the work space your installing the block off plate into.