Pros
You are working with a group of incredibly talented, interesting people. If you're ever stuck on something, there is someone who can help you. My colleagues taught me how to use many important tools. After the fellowship went remote, we all self-started a whole bunch of study groups to keep ourselves on task. I learned a lot from them about many things-- coding, stats, ML tools, etc. Moreover, I completed an entire second project with four of the fellows. That project got me a lot of attention from recruiters and some really good interviews. Another huge upside is the staff. They work very hard for you and are knowledgeable about pretty much any resource you might need.
Cons
I did a consulting project, and I had some trouble with the company that I consulted for-- delays getting the data, byzantine file structure, shifting goal posts / unclear scope for the project. None of this was Insight's fault, but better communication between Insight and that company could've prevented some of these issues.