Outdoorsy Insurance Claim Help

I got a small scrape on the side of the RV we rented through Outdoorsy, and Outdoorsy is asking me to file a claim with my insurance, even though I bought the required insurance with Outdoorsy.

I told Outdoorsy my auto insurance denied the coverage (I called my agent and they confirmed it is not covered).

Outdoorsy came back and asked for a denial letter, but I would need to file a claim to get a letter.

Filing a claim could impact my rate so my agent advised not to file a claim.

The Outdoorsy insurance has a $1500 deductible (which is fine).

Any guidance on how I should proceed?