How many millions of years ago would we need to go back, to find the common ancestor?
Whales and deer are not alike in the same way.
Same question, I suppose. A longer span of time, or shorter?
The main reason we don't eat whale is that they're going extinct in the wild and are impossible to farm (neither which are true about insects). Before we realized that large scale whaling was a bad idea we ate a lot more whale.
In places where it is/was eaten does that happen sustainably? (Japan excluded...)
My understanding is that it used to be quite normal in Europe back when whales were plentiful and relatively easy to catch off the French and Spanish coasts. However by the end of 17th-century whale stocks there had completely collapsed due to overfishing, and it fell out of favour as food. In Europe it's really only Norway, Iceland and Greenland that continued eating whale into modern times and even there it's popularity has dropped dramatically since the 80s.
I think that's a pretty convincing argument that people considered whales to be food for some time.