This guide says Insights is supposed to be in Engine\Programs\UnrealInsights, but while that directory exists ( in C:\Program Files\Epic Games\UE_4.26\Engine\Programs) it’s empty other than a Config folder with a default config.
Where can I actually download Insights from? Also, do I need to package my game before I can run Insights against it, or can it work on a game running in editor preview?
All the built binaries are in the Binaries folder, so in your case for example if you are on Win64: C:\Program Files\Epic Games\UE_4.26\Engine\Binaries\Win64
You can find the UnrealInsights.exe in there as well.
For users who download the UE4 source code and compile it locally, you can compile it either by building the entire UE4 solution in Development or Shipping mode, or by building the “UnrealInsights” project directly.