Misfolded proteins also cause Alzheimer's disease. They are the number one reason why cannibalism is bad. If you eat a human brain with misfolded human proteins (prions) it can cause your proteins to misfold. I think.
Insulin, on the other hand, is a free floating small molecule not anchored to a cell. Misfolded insulin is not 'infectious' like PrPsc.
The biological role of prions is still not well known, but one reason prion diseases are such a big deal is that prions are resistant to normal biological protein degredation. They are hard buggers to get rid of. Unlike insulin, which has a specific protease enzyme which breaks it down.