They don't make exceptions for "just passing through."

The U.S. is trying (heck, they might even get it already) to obtain manifests of passengers on planes that cross over, and don't land in, U.S. airspace. For all the U.S Border Guard knows in Calgary, you could just leave DFW airport in disguise of connecting.

Save yourself the trouble and the money. Find an alternate routing, or even location. I've never used it, but the insurance, I think, only covers flight cancellations. Trust me, the first thing insurance companies will do when receiving a claim is to find out how to get out of paying (Google the three D's of insurance).

Contact the U.S. Embassy if you want, but do not think they will let you go by just for the heck of it.