The insulation protects the stuff outside the wire from catching fire. The wires get hot while carrying a load. Neutrals always carry a load once the hot is powered on. Grounds only carry when something goes wrong such as a power surge. They carry excess electricity the neutral can’t handle and usually significantly less so they don’t get as hot. There’s no reason not to insulate a ground, and it arguably is safer, but the amount safer is noticeably less considering the extra cost. For a ground to get hot enough to catch something on fire several other safety measures would need to fail. In that regard it’s not necessary.