Home loan insurance is a different legal entity and it does not get transferred along with the home loan balance transfer. It is up to your choice to make whether you want to change the insurance or not. The bank is just an agency who sold you the insurance. You may have to inform the insurance company about the change in financier after the balance transfer.
In some cases, if you are paying your premium along with your home loan, things could get complicated. As it is paid every month with the loan amount, you may have to close the insurance and open a new one with the new lender.
If the loan amount is higher and had taken a lower cover with the previous buyer, the new lender may ask you to go for a higher cover.