Hi,
I work for a finance company (one of the worst ones ) and as far as I am aware all insurances are able to be cancelled within 30 days of the agreement start date, I have also been told that it is due to change to the date you receive the policy cover directly from the insurer.
If I where you I would check the terms and conditions small print and you will find this info ( or the relevant leaflet that they should have given you at the point of sale ).
I would also put this in writing to the finance company and get proof of postage.
regards