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Dead air space in the walls doesn't really provide meaningful insulation. If you are not going to actually insulate, may I suggest leaving the walls open (no inner wall panel, you know?) so that if you decide in FUTURE to insulate, you do not have to rip anything apart to do it.
You don't "need" to insulate. You would not regret properly-done insulation, though. It makes the chickens more comfortable, and makes management easier.
I would suggest that those who are, for whatever reason, expecting to run heat lamps definitely SHOULD insulate, though, as it will substantially decrease your electric bill and the demand on our continent's limited power supply.
So I guess, bottom line: if you'll heat, then insulate. If you don't expect to electrically heat, it is optional but desirable.
Good luck, have fun,
Pat