The agent is probably 100% correct. If not formally cancelled then it is you who is initiating the cancellation not the cruise company.
In relation to travel insurance you need to check your policy carefully as some insurances do cover medical and travel cancellation costs provided the policy was taken out before the pandemic was declared.
And with businesses not refunding the full amount in someways I can understand this. So long as your invoice clearly itemises what each charge is, it would seem reasonable for them to no refund charges for service that they have already rendered. For example if a travel agent says their fee is X, and they have provided their services why should they refund it?
Whilst not nice to loose money due to no fault of your own, fact is business is loosing far more, and as I said if it was for a service they have provided like spending hours booking your trip why should it be refunded?