I'd get the shots as the alternative is so gruesome. I've known
several people who've had the shots, including my aunt and uncle who
took care of a calf that turned out to have rabies. Everyone agreed
that they hurt, a lot.
Your insurance company's waffling over the in-system out-of-system
distinction is, of course, goofy. For them, paying for the shots ought
to be a no-brainer.