Only answer to your question is "it depends". The need for insulation does depend on a great many things.
In general, most chicken breeds are able to cope in unheated buildings down to around 0F. After that, depending on the breed and conditions, frostbite of combs, waddles and perhaps toes, can become an issue for some of them. Long combed birds, like leghorns, for example. For those with rose or pea combs, they go much lower. So don't be too worried about your babies getting cold. They are like their wild counterparts......they wear a thick coat of insulation in the form of feathers and can take care of themselves very well........if you let them. More important than heat or insulation is a constant supply of fresh water, constant access to high caloric foods to run their furnace (they have one) and shelter from drafts and wind (wind chill).....and that shelter must also be dry, meaning well ventilated.
But the issue with insulation revolves around several other factors, one of the more import ones being dealing with metal sides and roof. Metal siding is popular as it is relatively cheap, easy to install, is durable and low maintenance. So metal gets used a lot. Metal siding and roofs also do a good job of radiating heat. So a building clad with uninsulated metal siding will generally be hot in the summer, cold in the winter and is subject to condensation issues most of the time. This is especially true in chicken houses. So in my opinion, insulation should be used on metal clad chicken houses in USDA plant zone 6b or colder. Roof and all sides with exposed metal.
So it also turns out the birds themselves generate a lot of radiant heat. A group of them huddled together take advantage of this to keep warm, but some escapes. Radiant heat flows line of sight.......like sunlight does.......until it hits something that either absorbs it and radiates it on, or reflects it back to the source. Metal siding will absorb and radiate it on to the outside. Insulation stops it and reflects it back inside the house. An insulated house may be as much as 5 to 10 degrees warmer inside than out, and again, the heat comes from the birds themselves. So much below Zone 6b, which is 0F to -5F, might want to consider insulation, and especially so if using metal on the sides and roof.
Metal, and some painted woods, will also allow for condensation to form inside the house. Source of the moisture is the birds themselves.......mostly from their breath and from their moisture laden droppings. Tight chicken houses are wet houses and wet houses are death traps. When frostbite occurs, most likely it was due to an excess of moisture built up inside. So ventilation is needed to move the warm moisture laden air out, and is replaced with cool dry air, which then dries out even more as it warms up.
So all metal roofs, in almost any climate, should be insulated to prevent condensation.
Birds are no different from people, in that they have to acclimate to the cold. One of the very worst things you can do is provide supplemental heat to the coop. That does not force them to acclimate. With supplemental heat, you could be one power failure away from losing your entire flock. A flock acclimated to the cold would not know or care if the power goes out. Makes no difference to them at all.