Congratulations on your admit to INSEAD.
What do you think are your chances to transfer to the US with your current employer? How feasible is it to go on L1?
In terms of options, yes, it is always better to go to the program in the country you plan to work since you will get a work permit and in the case of the US, it will be a 3-year work permit with only a few strings (have to prove it is a STEM position to be eligible for year 2 and 3 and H1B is fairly straightforward to get these days).
In terms of your choices and consideration, it is obviously your life and there is a lot of complexity. Lives are messy and there are many issues we all face. Sometimes we need to get out and sometimes we want to stick around.
Having an MBB name on your resume will be fantastic and will allow you to get through most first rounds of the interviews. Having the interview and presentation skills, you will hopefully be able to get through the 2nd and third stages better than others. At the same time, with 2 years of work experience, have you maximized your current situation or would you be leaving before a potential promotion? You will be on the lighter and younger side of the group and spending another year at work and at school will somewhat season you (OK, it is a dumb argument - you don't need it really but I do find you take out more from the experience if you are slightly older, mature, and further in your career goals).
On the other hand, if you are 20-something, 2 years is probably equivalent to eternity at this point in time and waiting all that may not make a lot of sense. I can see going to INSEAD, and then trying to recruit and if not head back to MBB. The tricky part is how to make the jump from INSEAD to a US employer. I don't see many recruiting at INSEAD or wanting to go through the H1B process for someone outside of the country - plenty of the applicants already in the US... one option of course can be heading to Berlin and working for Amazon and transferring that way. Supposedly it is not that hard from what I was lead to believe and is likely a realistic path. You would have to put in 2 years at Amazon and probably get a transfer in year 3, so that would put your arrival date in the US as 3-4 years from now vs. US bschool would get you there in 3 years.
I feel the path via a US Bschool is a lot more certain. The path via Amazon or another tech company in Europe is less certain but anyone who has put their goals and sights on a certain target can usually get there with a bit of effort, so I don't have too many concerns per se. You can always jump ship from Amazon to FB or Google or some other company and transfer if Amazon does not come through. The question is what would you prefer to do and how much do you want to get out of your current situation or are you enjoying your job and can potentially grow in your current career?