You get different types of car lights, some of which are reserved for certain weather types, like snow or fog, and these conditions require fog lights. With a fog light insert, you are able to have the lights your vehicle needs, to ensure safe driving and maximum visibility through all weather conditions. This is for your own safety, the safety of your passengers and every other car on the road. It is important that you have an excellent lighting system that works efficiently at all times.
The difference between regular headlights and the fog light insert is that the insert allows you to have decent fog lights on your vehicle, as you will face situations where this is necessary. Regular headlights sometimes reflect off the snow or fog, and this can cause glare and visibility issues. This is especially dangerous in thick fog, as you will not be able to see where you are going if you have regular headlights instead of a fog light insert with real fog lights. A fog light insert part is completely separate from where your normal headlights are, so you can have both installed on your vehicle at all times. Fog lights are a necessity, as you never know when your visibility will be severely limited.