If you're *intending* to run a bulb for heat, then it seems to me it's kind of a no-brainer, definitely insulate to save yourself money and minimize fire risk
(Because the more insulation, the lower wattage bulb you can use).
Honestly you may not need electric heat much if at all, though, especially if you insulate
I guess what I'm saying is that while it is not *mandatory* to insulate, it is awfully convenient and makes life much pleasanter for the chickens and management much easier for you, so unless there is a particular reason not to (like, very tight budget and have not yet successfully scrounged suitable materials) then I would definitely recommend insulating.
The best materials would be insulation batts or rigid insulation board, behind something peckproof such as thin plywood. You can often find stuff secondhand for cheap or free, though. Stores sometimes get merchandise packed with flat or mainly-flat sheets of styrofoam, for instance, that they are often glad to get rid of for free (if you ask) rather than having to pay for dumpster space to have it hauled away. So it is worth looking around at your options.
Do make sure to leave appropriate vents free, though, don't close them off with insulation!