A normal fireplace easily draws oxygen out of the room, causing the fire to burn unnecessarily quickly. In drawing the air from the room, the fire also takes the heated air, making it more difficult to heat the room. This uneven burning makes combustion rather incomplete.
A fireplace insert is insulated, so air flow is controlled to a limited amount. It is closed and contained. This raises the temperature at which it burns while increasing how long it takes to burn, so your fuel burns more completely. Therefore, you get more heat and longer burn time for the same amount of fuel that you might have used previously.