While I agree it would have been cool to go back to Insomnia before the world of ruin, I also understand why we weren't able to. That was very much the heart of the Empire territory on Lucis, and going back there wouldn't make sense. I mean, I'm sure they could have managed it at a stretch, but the place was crawling with daemons and empire troops last I saw and I don't think it looked like there would be anything there but a fancy looking Fortress dungeon.