Fire stations SHOULD be insured, as well as much of the equipment inside. I say 'should' because there are unfortunately, many fire departments that cannot afford the costs associated with fire insurance. Just this past year, I read several news articles describing fire departments that lost everything; the house, trucks, gear, and equipment, and they had no insurance to help cover the loss. And even sadder is the fact that a few of these fires were arson jobs.
I would imagine without a doubt that a larger city such as yours would have proper insurance coverage on all of their municipal buildings.
E-mail me if you have any other questions. I hope this helps.