If the insurance company agrees to defend you under a reservation of rights, the insurance company is not conceding that your policy covers the claim against you. If it is not covered, you will have to reimburse the insurance company for the legal expenses and any settlement or judgment paid.
Under these circumstances, the attorney appointed to represent you may have a conflict of interest. It is best to ask the insurance company to hire an independent attorney, rather than an in-house attorney, to represent your interests. This way, the attorney will not be tempted to choose between the insurance company (who is saying that the company may not be responsible) and you (who is saying that the insurance company is responsible).