You can't request a visa exempt entry - it's what you get when you come into Thailand without a visa (provided you're from certain countries). So right when your O-A visa is all used up, you should cross the border and when you return you'll get a visa exempt entry for 30 days. You must go right away to immigration and get the visa exempt entry converted to a "Non Immigrant O based on retirement" which will give you three months. Since you already have the required money in a Thai bank, it should be no problem. Then when the three months is up you apply for a 1 year extension. And you continue to do the 1 year extensions every year. Unlike the O-A, he Non-O is not multiple entry, however. You will have to get re-entry permits or a multiple re-entry permit in addition to the visa itself if you plan to leave Thailand at any point.
Of course, it's a bit annoying that you have to wait exactly for the date that your visa runs out before you can leave and get the visa exempt entry. The timing might not be convenient for you. I don't know if there's some way to cancel a retirement visa.
I don't think it has to be from the ones listed on the official approved Thai insurance providers. You can have insurance from any company so long as they meet the coverage requirements