It's not just PCP's, even with Hire Purchase you're not the legal owner of the car until the final payment has been paid. Once you have paid the final payment, or ballon in the event of a PCP, then title of the goods become yours. Just inform the insurance company of the situation and there should be no penalties for this.
They do need to know, as if the car was written off or even stolen and not recovered then they would need to settle any encumberence on it to the official owner (ie. HP co. or PCP co.) so they in turn can release title of the goods to them.
PS. not an expert just my personal thoughts