whether and how to insulate this chimney exit?

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These photos and the rest of the details are SO helpful--exactly what I've been trying to envision, and I think this is what I will do. Thank you very much.

I will be insulating only *around* the metal sleeve (filling the corners of the rafter bay) but not inside it. I got the same caution that you did from company tech support, along the lines of "insulation is allowed only in the company-manufactured support boxes, because those have been through Underwriters Labs testing (UL 103)," which I find summarized online as follows: https://jeremiasinc.com/fileadmin/u.../ul_summaries/Jeremias_Inc_UL_103_Summary.pdf

My amateur interpretation is that although the Roxul isn't combustible, if there's any kind of severe thermoshock in the insulated portion of the pipe (for instance, a burnoff of creosote that has collected in the chimney near the roof line) it might conduct enough heat from the chimney pipe to damage a homemade sleeve? (And you wouldn't be able to inspect for that, once it's surrounded with spray foam.)

However: in the course of trying to sort out my current dilemma I've had several people who heat exclusively with wood-- (1) the owner of an Ace hardware store (Selkirk dealer), (2) an instructor at the local trade school, and (3) a neighbor who is a volunteer firefighter--all tell me that they have simply had pink fiberglass insulation filling that roof void directly around the class-A chimneys in their homes for decades. For liability purposes, the company specs certainly represent safety overkill. But personally, I know I'll sleep better at night if I stick to the specs!
Glad that helped - we're figuring out this one in tandem. I finally got mine in place last night - phew, now I can move on! A plus of the bolt-spacers is that once you have closed the shield they provide a temporary friction hold to the pipe while you are getting the shield screwed/nailed in place.

An aside responding to your neighbors installations: my understanding is that fiberglass is NOT non-combustible, so rockwool or other ASTM 136 non-cumbustibe-rated insulation would be a better choice around chimneys. https://www.rockwool.com/syssiteass...att-thermal-insulation-wood-stud-brochure.pdf