Congratulations on your admits! That's fantastic!
I am always a fan of the US schools since the job choices tend to be more plentiful and pay much higher than in Europe. At the same time, US is more expensive, has finicky immigration rules and can be culturally shocking to some.
As to the choice, both programs are great. INSEAD is shorter of course since with CBS you are doing 2 years without internship that is compressed into a shorter timeframe. ... (let me know if I am off, it is almost midnight here). I feel you would have a different experience and if you want to get back to life and stop being a student faster, INSEAD will get you there faster. If you are planning to be in Korea in the long run or Asia, I feel both INSEAD and Columbia will help with that.
The main advantage would be if you wanted to stay in the US after Columbia and try your luck there with recruiting and pay off your loan to the company (that is what many consultants seem to do even if to negotiate their future placement/etc) but that will take you an extra 8 months or so. Obviously being in New York will be very different than Fonty. French vs. English is a question as well but I would not be too concerned with that since you will be traveling/etc.
I feel it is a personal choice with time and location taken into consideration. I don't think it will be wrong per se to go to either program