I personally would also push the vet for more tests if he continues not to eat. My cat wouldn't eat when she was diagnosed, and it turned out she had an underlying heart condition, which we only found out about via X-ray when it was already too late. So in that case it was probably the other health problem that was causing her blood sugar to run high, rather than the other way around. I'm sure it is nothing as serious with your kitty, but if you continue to feel something is not right (especially if he is displaying other unusual behavior or evidence of pain/discomfort such as lying in a "meatloaf" position, breathing very fast or in a labored manner, having trouble getting around, hiding, etc.), you may have to push the vet for more answers.
It's also possible he is just stressed from the vet visit and going through a period of not wanting to eat (and maybe there is something to your idea that this has something to do with the insulin--I haven't heard of this before, but then I don't have a ton of experience and anyway you never know), but you don't want to let it go too long, if for no other reason than cats can get sick if they go for much more than a day or two without eating.
I agree with the recommendation to get the ketone strips. They are easy to use (as long as you can catch him in the litter box, or lay some saran wrap over his litter so the urine will pool and you can dip the strip in it), not very expensive, and ketones are definitely something to keep an eye out for. You may have to ask for them at the pharmacy counter if you don't see them on the shelf, but you don't need a prescription.
Best of luck to you and your kitty.