Nature of refund you are referring to is not clear. Presuming you meant whether the insurance company should refund the VAT paid on premium owing to policy cancellation would depend on the cancellation policy. If there is a premium refund due to you as per policy, then the insurance company should raise a credit note for the refundable premium along with VAT due on it. They cannot retain the VAT portion and refund only the premium amount.

I mean we are cancelling the policies as we are moving out of UAE. Annual policy. Though only 3-4 months left.

The refund of premium will depend on the cancellation policy of the insurance company. And if premium is refund VAT on the same should be refunded along with it.