No, there is no requirement on the financing company to collect proof of insurance--they can, and it is wise for them to do so, but they don't have to. Rather, the law is clear that the burden (and therefore the consequences) are on the driver/insured to make sure that they bought the coverage they wanted and have insurance coverage; for example, you need to review the policy and declarations page to check that you have the insurance you thought you did. If you failed to do this, the consequences of a lack of insurance fall on you.