If you are doing electrical work for which you are qualified then I can't imagine that the company insurance would not cover your work as an employee. If you are doing other HVAC work for which you are not qualified, it might be a different story. I would also guess that it would generally be the company, not you, that would be legally and/or financially liable for any wrongdoing if you are an employee acting under their direction.
We're mostly electrician's here though, not lawyers. Massachusetts, I hear, has stricter laws about qualifications needed to do certain work.