Do they even extend mortgages at that level for rental properties?  Or are you allocating PMI to the part of the home that is being rented?

Yes, they "extend" ("make" is a one-syllable word that most people use) loans for investment property.  And there is no law against converting personal residence to a rental, without paying off the existing mortgage which required PMI.  

My understanding is that loans for investment properties generally require deposits of at least 20% but I could be wrong, hence the question.

Not keeping up with mortgage offerings stateside. In many countries, terms for home loans would void the mortgage if the property ceases to be used as the borrower's principal residence.

https://www.irs.gov/faqs/sale-or-trade-of-business-depreciation-rentals/rental-expenses/rental-expen...

Report the deduction on line 9 of Schedule E (Form 1040), Supplemental Income and Loss.

Right, it should go on line 9, which is Insurance.  But the issue is in ProConnect, the Insurance field says "Insurance (except PMI)".  So the question is why does is say that?

I have a theory. There was a period of time when the IRS had a mistake in their FAQ that said that PMI is not deductible for rental properties. That was wrong, and they later corrected it. But it's possible that the authors of ProConnect/Lacerte saw that FAQ but never saw the correction, so they never updated the software to remove that "except PMI" label.

I asked ProConnect support about it, and they're going to look into it. 

I wouldn't sweat about how ProConnect Tax labels the input so long as I know my entry is valid.  I'd also not hold my breath when Intuit would come back with an update.