HIPPA would only be in violation in this case if the cops came to question you and you divulged what you saw the patient for. YOu don't need to give any medical information, just that you have someone you suspect of stealing somethign from the office and go from there.
You need to talk to your malpractice carrier about getting their Sh*t straight, if they don't know basic stuff, you may want to think about a different carrier who does know how to take care of you in a bad situation. Just a thought.
And your carrier should have had you talk to one of the lawyers they have on retainer. They shouldn't have just given you the answer of don't report them.
I would make an issue of this with them, it may come in handy when you have a case against you to know that your malpractice is doing things properly and in your best interest. I have had a great experience with my malpractice carrier even when I was getting sued. They had me talk to the lawyer first and directly when it all got started and they helped guide me to a decision.