I haven't been consuming my Madman's Knowledge just out of curiosity, so don't have as much Insight as I probably should. I have no idea if there is any benefit to not consuming them, apart from not upping the difficulty sooner.
Not that I've heard. Just remember if you want to use that Insight vendor you have to have, at least, 10 Insight. It's pretty dumb so if you're shopping and spend Insight to where your below 10 you can't shop again until you have 10 again.