The point of a super insulated home or a Passive house is that they rely on the body heat of the occupants plus the heat from the various gadgets in the home to keep them warm, with the insulation slowing the heat loss.
A home built to Passive house standard will usually be fitted with hydronic heating (probably as the new owners are not sure that it will do what it says on the tin.) And the heating may never be used.
Of the 37, 000 Passive houses in the world, 20, 000 or so are in Germany where 92% of the owners are satisfied with their economy.
A true Passive house is almost air tight, with a heat recovery ventilation system, fitted with a in duct heating coil to warm the incoming cold winter air, should it be 3.5C or more lower than the room temperature.
You can see from the above that having a large hole in a wall, albeit sealed with a steel sheet, where a vast amount of heat can escape will defeat the whole point of carefully installed insulation.
I grew up with vermiculite (now rare due to most of it being contaminated (in the ground) with asbestos), moved on to fiberglass, and am now a blown-cellulose convert.
They all work, for various values of "work."
Cellulose is inexpensive, gets MORE effective when cold, and blocks airflow well enough that a vapor barrier is (possibly) optional according to some researchers. It's dusty during install, but otherwise innocuous. I'd suggest getting a bale from each supplier (or each different brand from suppliers) and inspecting it - or from the supplier you'd go with on a cost basis (first) and if that fails your inspection, from others. I found the sample I got from a major home improvement chain was contaminated with a lot of scrap plastic; as it turns out, not only were the bales from my local home improvement non-chain cheaper per pound, they were also good clean cellulose with no plastic scraps.
Fiberglass compares well at 70F (where R values are measured) but gets quite terrible at -20F, just when you want it working hardest. It's far more prone to air movement (whether in batts, where seams are are a problem or as loose-fill.) Plus there's that whole scratchy thing going on with glass fibers.
According to "belt and suspenders" thinking and "it's cheap enough" my cellulose is sitting on top of a vapor barrier. One more way to stop air movement. Since your climate is primarily heating, your vapor barrier goes on the inside (generally, the "warm" side - complicated in climates where heating and cooling are similar.)
If you are not using the space beyond the wall, insulate the wall (and perhaps add some furring strips to get more insulation on the wall where there is room.) If you insulate the roof, you need to provide cold air channels against the roof surface to vent the roof appropriately (though with that steep of an edge, it might be difficult to get a serious ice dam, which is what roof venting/cold roof design is trying to prevent.)
Since you are gutting it, you may also want to furr out the endwall to make it thicker and give you more space for insulation, since you won't get a lot of R-value with any insulation in the space available. Alternately, and at higher cost, you could sandwich a layer of sheet-foam type insulation over the studs and under the drywall on that wall.
Generally you will also want at least a few cans of polyurethane spray foam. While you can do all your insulating with spray-foam, it's very expensive, relative to other kinds of insulation. But it's great for sealing irregular cracks and crevices.
Best Answer
They talk about using EPP-Insulation which is expanded polypropelyne foam:
http://www.flyingfoam.com/FoamTypes.html
Based on that, I think you could do quite well with simply buying some basic pipe insulation
and do some creative wrapping of the insulation around the fitting, adhering it with duct tape (not directly to the device but insulation to insulation only).