Actually in many insects the movements are not conscious -- e.g. Cockroaches use hairs at their tails to detect air currents (such as a human foot coming down on them) and their nervous systems autonomously make then run away to escape
not disputing this but interesting that more evolved animals like mammals and humans dropped this feature of their nervous system making independent decisions. Does a mammal feel pain if the pain signal does not reach the brain? If not, why would evolution drop that ability from the feature set? And why not enhance the nervous system even further, kind of an implementation of multi core processing in the evolved being? For example, enhance the insect "feel the air current" feature by adding the ability to see things as well.