How should I finish around this hole in my slab?
If you use a tub with an above floor drain, you can finish the floor flush.

If you use a below floor drain, you should at a minimum put down poly, seal the edges with a sealant and cover with several inches of pea gravel.

If you want to insulate a bit, excavate a couple more inches and put down some XPS foam over the poly and then put the gravel over it.