This is sadly common. I have a compound that I'll likely have to take for life. Compounds are freaking hard, most pharmacies act clueless when asking. And they're regulated by state, so when you move, you often have to find a new one.
Anyhow, our insurance decided everything should be done via Walgreens or CVS(don't remember now), or denied. They had no idea about it, and said they don't do compounding.
Like you, I called insurance co, and they said oh, we'll just opt you out no problem. Why wasn't that the default?
Anyhow, I found it easier to just pay cash anymore. 600/yr, but still somehow less frustrating than dealing with insurance that just finds ways to try to screw you constantly.