Evolution doesn't pick the optimal solution, it just weeds out the solutions ones that aren't good enough.

Nature's insulation is fat and fur/feathers but there is a limit to how much that can help. It adds weight and bulk - hummingbirds have to hover their own weight so adding more fat is like making bigger rocket: you need more fuel to lift your fuel.

More insulation has other tradeoffs. Look at arctic animals - they're not very agile or dextrous. Penguins, whales, sealions, polar bears... they're all 'lumpy' and nowhere near as agile as other areas. Even the occasional agile animal like a snow fox is 'lumpier' than its temperate brethren, but they only have to be more agile than the tubes of fat that hunt them.

Any time you think "why didn't this or that feature evolve a different way", have a think about tradeoffs in terms of survivability.