Insertion sort vs Merge sort - memory access
The implementation of merge sort that your instructor has in mind accesses memory sequentially, in the sense that merging steps from left to right over the two arrays being merged and the target array as well.  Insertion sort has a more complicated memory access pattern.

As you note, if you sort linked lists instead of arrays, insertion sort also conceptually moves from left to right.  However, the implementation of linked lists will still do pointer operations that lead to non-sequential memory access.