Ok, so others have already explained the benefits of the legs. Better suspension, maneuverability is very versatile (wheels move where they point - legs can move in multiple directions), stability is amazing on almost any terrain, and on most slopes the vehicle could level itself (for instance, walking forward down a hill, back legs bend, front legs extend). The suspension and leg movement allows for a lot of shock absorption from high-output artillery. The chassis can easily be raised and lowered by the legs as well, allowing for more varying aiming angles.
Of course, wheels would probably use less energy, and a bunch of turning shafts is much simpler than a complex leg system. Also, it's important to note that although insects are extremely powerful, a giant one (even a magic giant insect) will probably not scale to the same strength.
Ok, now the fun part, insects to use for vehicles (prepare for pictures).
First, scout/assault -
the fastest insect, and the fastest animal on the planet (by size to speed) is the tiger beetle.
This is a predatory beetle, that are not only relatively proficient flyers, but can reach speeds of 9km/h (5.6m/h for you imperials) which equates to around 125 body lengths per second (it doesn't take much to realise how fast that is). This beetle actually runs so fast, that while sprinting its eyes can't process its environment fast enough and it goes blind.
Now, that blindness might seem bad, but this is a 1000x scaled magical tiger beetle, so not only will it probably be slower (but still insanely fast) but its eyes will probably be like high speed cameras. Their role could be small scouts, or they could be fast assault vehicles - sprinting up to the enemy with thorax mounted guns (close range makes me think giant shotguns, but they could be small anti-personnel smgs) and actually jump at the enemy vehicles and tear them apart with their jaws and guns.
Next up, carriers, artillery and tanks. Simple enough, just choose the insect with the strongest carrying power. For that, I chose Onthophagus taurus, a dung beetle.
First off, aesthetics, it has horns, that's intimidating. Secondly, the natural scale creature can pull 1140 times their body weight, if that can't carry heavy artillery and/or smaller units, I don't know what will. Again, scaling up the beetle won't be very forgiving to it's strength, but using powerful machinery and magic will take most of the power with it in the scale up. These things are bulky, so plenty of room for gun-mounts, and being a beetle their exoskeleton is the strongest of any type of insect (that i know of). If you want a really intimidating tank, maybe choose a stag beetle (which are also scarabs and are also very strong) because they have those giant mandibles. the Rule of Cool is always valid.
Now, air units (you didn't mention them but still) someone else mentioned dragonflies? I agree, they are amazing creatures, masters of flight, but I think they are a little to big a target for AA units, and that long abdomen seems fragile. My suggestion is a very similar predator, the robber fly.
Already we see improvements, smaller frame, smaller wings, a more aerodynamic shape (air resistance may not affect dragonflies too much, but when they're scaled a few thousand times it becomes a problem). Now for facts, these things are fast, agile and, like dragonflies, they can take down targets in midair. They take down wasps and spiders from their webs for goodness sake. Again, small typical aircraft weaponry (maybe the odd missile). They also have a poisonous bite (through their spear-like proboscis), which is less useful against vehicles, unless of course you replace a stream of venom with a stream of small explosives (just a fun addition, I just like the sound of robber-mech quickly piercing a dung beetle tank and then flying away as it explodes from the inside).
Alright, I'm almost done. two last points.
swarms, a lot of people are suggesting ant armies. I think this is a great idea, but I would choose termites, as they have a more diverse cast system, smaller working termites (scout/medic), large defensive termites with giant mandibles (tanks and artillery), and one cast has an acid shooting cannon for a head, it's already artillery without strapping guns to it.
And for one last suggestion for artillery units, which I didn't include because it isn't actually an insect. I won't go into detail, google velvet worm, and you'll find a many-legged worm with two tubes on the sides of its head, these shoot a sticky silk/mucus stream thing that traps their prey/predators. this is useful in giant-mecha-battle, but you could also simply replace goop-launchers with heavy artillery.