I was informed that I must register my business as a foreign entity to obtain an insurance license. As a registered agent, should I list myself under the "Registered Agent" category?

The registered agent's primary purpose is to collect service of process. A registered agent must have a physical and mailing address in Montana. IF you do not have one, you must hire a commercial registered agent. You should search for your business’s registered agent, not yourself as an agent, unless you are serving in that role.