Random thoughts:
The noted thimble has holes in its radial elements to reduce conductive heat transfer, and to allow passage of combustion air, so the Diesel doesn't suck the walls in.
Diesels tend to wobble around a little, even if you bolt them down solid, and you might want to include some sort of elastic motor mounts to reduce structureborne vibration transmission from the engine to the building.
It's common to include a flanged metal bellows in the exhaust right near the engine, so the wobble doesn't fracture the pipe, and so that the engine or turbo's exhaust flange is not carrying the weight of the pipe. It would be wise to include a spare with gaskets, and instructions to replace the bellows every few years.
... unless there's room in the building for a big expansion loop, and the loop and its elbows don't push the Diesel over its backpressure limit.
I'm no fan of rock wool, because it tends to come apart and settle over time. This is actually true of all known high temperature fibrous insulation, because the binders that hold the fibers together will burn off in the first few hours of engine operation. Better to have 'exhaust blankets' made to limit the fiber migration, or to use air in annular tubes or thimbles as insulation.
If I saw a concrete pipe abutting the outside of the wall underground, I'd expect it to be quite a bit larger than the actual exhaust pipe inside it, perhaps with some skeletal supports or hangers inside, all arranged so that the pipe proper can be replaced at some future date without major excavation. ... and so that the concrete pipe is not expected to carry the actual exhaust gas.
Mike Halloran
Pembroke Pines, FL, USA