Insulation goes beyond just preventing a nasty shock. It prevents bare wires from catching on fire in an un-fused circuit. For wires that have 20,000 volts AC or more a combination of neoprene or silicon insulation with an outer insulator of Teflon helps prevent corona discharge of the energy into the air.
Over distance of many meters coronal discharge can waste away a significant amount of energy. This can also produce a irritating odor known as ozone, which is deadly in high concentrations.
As an example at my previous job we charged a capacitor bank with a 32 kilo VDC source, but it had a high AC ripple in it. The wires were rated for 40 kV but we heard the hiss of coronal discharge leaking out from the 4 meter long pair of wires.
This prevented us from fully charging to the expected 32 kV. So I had to buy and install Teflon tubing 31 mils thick and just slightly larger diameter than the wires. It solved the corona discharge problem.
Insulation goes beyond preventing a shock or a short-circuit. It can prevent high voltage from leaking into the air, which prevents loss of energy, and a major if not fatal shock hazard, and the release of ozone gas.
EDIT: You cannot prevent coronal discharge in high-tension wires. The power company simply accepts the losses, especially in rainy conditions. You might be thinking of the ceramic 'bells' that are used to prevent arcing by creating a series of air-gaps. The high-tension wires hang from these stack of bells, mounted to a steel tower. I have not heard of a 'Coronal Ring' before.