nunca comi insectos - it's still the case so why isn't it nunca he comido insectos?

Hola Christophe

In Latin America, as we explain in the lesson, the common tense used with nunca/siempre is the preterite/simple past so it would be generally "nunca comí insectos", "siempre fui una niña buena", etc. This is a constrast with the tense normally used in Spain which is the present perfect "nunca he comido insectos". 

Both are correct but depending on which focus you are on you find a different tense as the most common one. I can see that your focus is Latin America. 

Saludos

Inma