He is conning you!
It has nothing to do with Ukraine whether you have insurance for RUS or not! That is for the Russians!
He was trying it on to sell you something for his own personal gain by way of a commission -and, by the sounds of it, by huge overcharging.
Go back and if they try the same insist it is none of his business and you will deal with RUS when you get there. Demand to see the Senior Official if that fails. And make sure your vehicle is blocking the lane while all this happens...
And, I repeat from elsewhere, the RUS oficials do not look for insurance because you are permitted to buy it once inside RUS (ie. past all the controls). You can buy it in the border zone but you are also permitted to proceed to the next town and buy it there.
You will find RUS officials far more helpful than UA ones, but RUS ones are not anywhere near the top of the league.
In RUS, and away from the border, insurance costs about UK£10 - £12 per month for a moto (2 years ago) and about UK£20 to £25 per month for a car (current), depending on its power.
Be strong and take no nonsence from them ... and let us know the outcome.
But Volgograd is pushing it a bit for 'next town' from Ukraine. I think you will have some difficulty with that one!