This could be caused by ventilation or cooling clashes. It's something I've encountered before when trying to implement Airflow Networks. If you have a high ventilation rate (as an airflow network with good cross-ventilation can easily produce, for example) then it can create a problem where increasing the insulation levels makes the model warmer, which causes the ventilation setpoint to be triggered in cooler weather, and the high ventilation rate kicks in and drops the zone temperature below the heating setpoint. At which point, EnergyPlus turns the heating on, and the result is that it claims that increasing insulation levels increases heating loads.

I don't know if your situation is exactly the same as this, but I would suggest looking at your ventilation rates and cooling and see if they're turning on at the same time - or close to - as your heating. If so, you'll need to look at their controls.