Thanks all of you for the info.
So, I entered Russia in July coming from Helsinki. No insurance office at the border (or not seen by me), and I made my 2-week trip in Russia without insurance. Next time I'll stop in Helsinki to get one at the insurance company noticed in the Lonely Planet guide.
Anyway, I went to St Petersburg (4 nights), and then the M18 road north to Murmansk.
- 2 nights in Petrozavorsk => Kijy island
- 1 night in Belomorsk
- 2 nights in Kem => Solevky archepelo
- 1 night in Apatity
- and 2 nights in Murmansk
- then Kirkenes in Norway, and south to Oslo, Sweeden, Danmark, Germany and France.
No problem at all.
Entering or leaving Russia was a matter of 15-20 minutes.