There's really no downside to insulating, so if you have the material available, I'd use it. The insulation will also help even out changes in temperature, the coop will be slightly cooler in the day and slightly warmer in the night. During short periods of extreme temperatures, it will take longer for the coop to be affected. And if it gets really cold and you decide to put in a bit of heat, you will need less of it with the insulation, and again, in the summer when the sun is trying to fry your chickens, the coop will stay a bit cooler.
On the other hand, it will complicate the build quite a bit, and make your walls and roof thicker. If you need to buy all the materials, it will cost a bit, and you will have to make a double sided construction. Most birds will do just fine even in colder weather, my flock chose to sleep out in the run even in 0F temperatures when they could have gone into the slighlty warmer coop (I had chicks in there so I had some heat on). And many people have birds that don't have issues with colder weather than that. Protecting the birds from wind and drafts while at the same time ensuring adequate ventilation is the most important factor in preventing frost bite and other issues related to cold. Selecting breeds with small combs and that are adapted to cold climates also helps.