Sleeve for below grade pipe penetration
Uponor Ecoflex is your best bet here. https://www.uponor-usa.com/~/media/uponor/sidebar%20brochures/pips_pg_h460_0113a.ashx?version=012120130317. You will need, as others mentioned, a schedule 80 sweep to sleeve the concrete penetration. Use expanding spray foam to seal the open end of the pvc. Using the foam insulation below grade....will get saturated with water over time and no longer will have any insulating value. Your goal here is to protect the pex from getting torn by rock, etc, below grade. I'd skip the insulation and go deeper and sleeve it all in PVC, or use the Ecoflex, which at the end of the day, will cost you less then the extra time and materials with your original option. Make sure you pressure test before closing things up, and as long you pass that and aren't burying any fittings, you'll never need to replace it.