10framer, I have tried it with some macro shots but never with insects. The main problem is that the darn critters keep moving around, so you get a slightly different image with each frame. This can be a problem with focus stacked images too, but you can sometimes get around it if only part of the insect (a leg, an antennae etc) moves between frames. Most focus stacking software can deal with that. Not so with HDR, as it will try to interpret both images and blend them, which will be a blur.
Honestly, after enjoying a few years of great popularity, HDR is falling out of favor. Newer cameras can accommodate a much wider dynamic range because they have better sensors with deeper well capacity. This makes HDR unnecessary except perhaps in extreme cases. Even consumer DSLRs (and mirrorless) can capture 12 or 13 stops of dynamic range or something crazy like that these days. If you shoot in RAW mode, pretty much all of that range will be available to you when you process the image. Not the case if you shoot JPEGs. A good reason to always shoot RAW!
Also, I don't think you'd really gain much by shooting bees in HDR. Nearly every macro shot I've taken, be it jewelry, snowflakes, insects, whatever, all seem to have a narrow dynamic range anyway. If you look at the histogram, they all have a nice bell shaped curve. It's sometimes useful to boost clarity and/or contrast and/or micro-contrast, but you don't need HDR to do this.
If you really like the HDR look, try processing a single image with tone mapping. Photomatix can do this. Not sure about other HDR programs.