Where are sudo insults stored on macOS?
If you run sudo strings /usr/bin/sudo you get (among a lot of other things)

Sudo version %s
1.8.17p1
Configure options: %s
--with-password-timeout=0 --disable-setreuid --with-env-editor --with-pam
--with-libraries=bsm --with-noexec=no --sysconfdir=/private/etc
--without-lecture --enable-static-sudoers --with-rundir=/var/db/sudo


For insults to be included, --with-insults (or any of the other insult options mentioned in the INSTALL file) would need to be used when compiling sudo:

--with-insults
    Define this if you want to be insulted for typing an incorrect password
    just like the original sudo(8).  This is off by default.
    Sudoers option: insults


See How do I install sudo insults on Mac? for instructions on how to compile it yourself.