Very interesting question! The morphological diversity is one of the reasons that insects are one of the most evolutionary successful animals. From an engineering standpoint, I can't give an exact answer in terms of the physics/aerodynamics of how they move (however I am sure there is a lab that has asked the same question so a search in google scholar might be successful).
However, one thing to consider is the internal anatomy. Insects have an open circulatory system, this means that their hemolymph (the insect equivalent to blood) doesn't require specific vessels for transport. Instead the hemolymph essentially circulates freely to around the organs to transport nutrients and hormones, although winged insects use veins in order to maintain structural rigidity in the wings. Their digestive system is fairly simple as well, so only a single "tube" of the gut needs to go through the waist since most of the organs will be centralized in the abdomen.