You should only need U.S. car insurance to drive your car in the U.S. with current Mexican registration and tags. The key concept in the discussion above is residency. If you can prove that you are a resident of Mexico and not of the state you are visiting, then there should be no problem. Your FM-2/3 visa and Mexican driver's license should do the trick. Obviously, if you stay several months in one city and are noticed by the local cops or CBP, especially in a border state, be prepared to show your proof of residency in Mexico.