1. yes you will need a transit visa to Saudi Arabia. you won't need an entry visa to Bahrain though as you can get it at the borders.
2. no need for any car travel insurance, you pay about 100 QR at the Saudi borders and that's it.
3. regarding the road, if you go straight on Salwa road you will reach the saudi borders in about 40-60 minutes depending on how fast you are going( there are speed cameras there).the rest of the road in Saudi can be tracked down on google maps till you get to the bridge between saudi and bahrain.
Good luck