Looking at the metal pin (before use) then it will normally have two x V shaped bits. When you insert the wire for crimping then the outermost V should hold onto the wire insulation, whilst the second V should hold onto the bare wire. (Well thats how I do it!).
So once finished and inserted into the housing, then 'Yes' the insulation should go down into the plastic outer housing. Otherwise you risk shorting bare wires between the neighboring pins in the same connector. And if these are the battery and ground then you risk shorting out the battery!