If the heat from the stove will not go out it will warm up the masonry which will slowly release it then. The question is only where to. The back of my interior fireplace gets nicely warm during the day to the point that I was checking if our radiator in the stairwell was turned on. If the back goes out to the yard, then you surely will have some heat loss. The other place the heat can go is up. For a stove with a stovepipe it will stay in the room. For an insert with a liner it can also go around the liner up the chimney IF there is no block-off plate. Hence, there is no "heating penalty" just because you have an insert. There is a penalty for letting the heat of it escape due to missing insulation or lack of air-sealing.
I actually love my insert in my interior fireplace. The masonry acts as a huge heat sink radiating the heat back into the room hours after the stove went cold (Take that, soapstone!
). On the other hand, I do not expect the insert to throw plenty of heat within an hour after lighting a fire although the blower kind of helps.