Wait, so it could be a parallax thing?
The moon is in practical terms infinitely far away, and no matter how far the insect flies it won't budge and stay as a stationary feature to localize by.
But do the same with a lamp that's only 3 m away, and keeping it in the same spot can only mean flying around it in circles, towards, or away from it, otherwise it'll move around a lot relative to the insect observer.