[adnadeau]

The frost probably results from warm moist air coming up through the chase from the attic. There shouldn't be any warm moist air in the attic, but if you've been accessing it a lot through a hatch in the house ceiling, some probably got in. Either that, or there's no vapor barrier in the ceiling. If you screw a piece of plywood up against the inside of the roof to cover the 2' x 2' hole where the chimney will go, you shouldn't get any more frost.

That said, it's not a bad idea to insulate the chase. Chimneys work best if they're warm. It may be too late to get back inside the chase; there is a little room left in there for rigid insulation, but it should be faced with a layer of drywall for fire protection. You also have to maintain the 2-inch clearance from the outside of the metal chimney. If you insulate the outside of the chase, you could build out the top overhang to protect it.