The insurance company should be able to track the cheque down i.e. which bank and who cashed it. there must be a signature and as far as i remember,the banks have copies of such - meaning the bank can forward the copy to insurance company and they will see then, if it really was you i.e. if there is another name on it as the sig. they have proof you didn't cash it.
I was always under the impression that if a cheque is put into your name, no third party can cash it on your behalf or for themselves but maybe there are different types of cheques.
Also, same with the Revenue and other institutions - I never got why cheques are never sent by registered post given the fact that anything worth money is often lost in transit....
Anyway, call them and ask them for proof that they have sent the Cheque to you and that you have cashed it.