I am a J1 research scholar and the institute where I stay pays for me the health insurance. On my 1042S, the gross income is the sum of the salary I received plus the health insurance.
The taxes that have been withheld during 2010 are on the gross income (sum of the health ins. And salary).
I believe the health insurance should not be included in my gross income.
Am I right? So I should not pay taxes on it. Am I right?

If it is important for 2010 I was a non resident and I am a UK citizen.
Please let me know.

The benefits you receive are taxable benefits.
However, you might be able to claim a tax treaty with the UK, so you would not have to pay any taxes on your income during the first 2 years of your stay.
http://www.irs.gov/pub/irs-trty/uk.pdf

Actually my employer says that it is a gift so it should be deductible. Some colleague of mine do no get this on their forms. Is it something related to my citizenship?

Benefits are not a gift. If your salary would have been reported on a W2, those expenses would most likely not be included. But then you might not be able to exclude any of that income under the tax treaty. As I see it, the tax treaty with the UK lets you exclude your income without a limit.