I had same problem with my gas fp at my last house. I've heard others complain as well. Its a installation problem and I'm not sure how to remedy. Did you hire out the install or DIY?

The store you bought it from wont help you? Hmmm did they ever hear of better business bureau? Did they install it?
I also found the link below, it might be worth a try if you cant get help

Here is a link that might be useful: consumer complaints

Sorry to bring up an old post but I'm having the same problem with a Kingsman. Did you ever resolve this?

I found this information (posted below) on another site but it doesn't really help. I have several floors in my townhouse, the fireplace is on the 2nd floor and everything is insulated very good on the floor above. The only other place I can feel some cold air is by the front door which is below the fireplace on the first floor (basically just the door and garage).

Do NOT insulate the fireplace directly! This is a fire hazard! Clearances are air spaces. You fireplace uses cold air to insulate the inner flue. This cold air dumps into the chase at the starter collar at the top of the Fp. The chase will always be full of cold air. The answer is not more insulation or sealing but physics:

If you open a window, will warm air exit the house or cold air infiltrate in? How does it know? Physics. For cold air to infiltrate in, there must be either a higher pressure outdoors than in or a negative pressure inside With Respect To(WRT) outdoors. If cold air is manifesting at your fireplace, it means you have negative pressure and the rest of the house is relatively tight leaving the Fp as the path of least resistance. How to minimize it?

First, reduce the negative pressure. Seal the top of your house like Tupperware. Next, provide a dedicated source of fresh air elsewhere in the house. Next, seal & balance forced air ducts. Provide makeup air for any exhaust fans.

Fireplace bumpouts are supposed to be insulated, but they rarely are. Obviously, you can't just dump insulation in the space around the unit. However, you should insulate the bumpout walls just like any other exterior wall and then cover the inside of the bumpout with drywall. Assuming the floor of the bumpout is not on concrete, it should be insulated and covered in plywood.

If your bumpout is a projection (you can get under it from the outside), you might be able to get under it and insulate properly.

I've installed several gas fireplaces and every single one of them required the appropriate sealant at each flue joint. In those cases, an installation to the manufacturer's specification would mean no cold air infiltration into the space around the unit.

another thing to check is to see if you have sealant where the gas line comes into the house. Unfortunately you CANNOT use silicone there by code but you can use a latex (water based joint compound) to seal the space around the gas line
where it penetrates the floor.

I had the same problem. On a really cold night cold air would blow under the fireplace. So much so that if you were lying on the floor close by it was uncomfortably cold there. Our FP gas insert was installed in a keyhole with the outside looking like a chimney from ground level up to the roof. Anyway, curosity got the best of me and I figured if the pro installer contractor screwed up why pay another to screw it up worse?

I ended up breaking out the marble tile surround and sheetrock around the perimeter. I disconnected the gas line and removed the back vent from outside and slid out the insert. I climbed in the keyhole and noticed it was insulated but quite sparsely and had a gaping hole near the roof about 8" in diameter. In other places there was only an inch thick or so and very little around the vent pipe. I bought a small roll of insulation and used it all. I also fabbed a 12" pipe to go around the outer flue pipe so insulation wouldn't contact it. Put everything back together after I stubbed out a gasline for the BBQ.

I also did a new fireplace surround in slate as we were tired of the marble. Three things improved in my home that I have wanted to do for several years and it didn't take more than a few hours. No more cold!