To be clear, we need a lot of different things in order to make this happen. We are talking about an extreme case of convergent evolution that probably takes hundreds of millions of years to happen.
In fact, a much shorter round-trip would be from mammal to ferocious insect-like mammal instead. Even just evolving into this insect/mammal monster directly from the dawn of time would be a shorter evolutionary trip, than the one we are talking about.
However according to the concepts of evolution, and as a thought experiment, moving from an insect to a mammal-like creature is possible.
Proof of concept: We need lots of different evolutionary pressures over a very long time
Evolution gives us the steps to change an organism's phenotype/morphology into something else; we just need to manipulate what traits give a species evolutionary fitness. In layman's terms, we need to influence what features are being passed down, so that we can control how the species changes over time.
We can do this by altering the organism's environment. This is very easy to do with artificial techniques like selective breeding. However on an alien planet we either need a lot of luck to make everything line up the way we want, or play god and do it manually:
If done manually, a super advanced civilization could theoretically make this happen in a lab. Or also planetwide with precision terraforming. However a lab would likely be hundreds of times faster, because we have more control. For example in a lab we could simply sterilize all the organisms that don't have the adaptations we want; thereby speeding things up.
In our case we have an uphill battle to first remove certain traits, before adding new ones. We need to lose useful traits like exoskeletons, and gain seemingly useless traits like looking like a mammal. The only way that this can happen is through shaping. Shaping is the incremental change of a thing, and after enough time and enough incremental changes we finally arrive at our destination (looking like a mammal).
In our case we would first need to gradually create an internal skeleton for our insects, and then gradually soften their exoskeletons into skin. After that we need to (again) gradually change their physiology into the shape of mammals.
This process could very well take a billion years, even in an environment that we have explicitly crafted for this purpose. It would be faster in a lab, but this still going to take a very long time.
There is also one more very important thing to consider that I am sure you have not. Which is that after going through all these processes, will the insect even be an insect anymore? If it looks like a cow, moos like a cow, and acts like a cow. Well...it might not genetically be a cow... but it certainly isn't an insect anymore. Insects would just be a distant ancestor of your new species.
Yes it is possible, but it is not straightforward and the outcome might not be what you actually want.