I think that you may find that they are "Trying it on" by getting you to cancel it after the Free 3 months, even though you ticked to say you didn't want it.
If I were you, I would do as
mc661 advises and ignore them if you never asked for it
Personally I would also go to the website & find their email address and send them a snotty message that you didn't ask for the insurance, free or not, that you have NO intention of continuing it, and you can threaten to cancel the direct debit if they continue to hassle you about it.
Keep notes and copies of messages sent just in case it comes to a court case but I think they will probably relent & stop annoying you before it comes to that.