You don't have to mix kibbles - but mixing does have it's benefits. Unfortunately, despite pet food companies being well ware that many animals are picky and don't take kindly to change, they change food recipes - not frequently, but it happens. Having (at least) two different brands of food gives you something to 'fall back on' should one brand change their recipe and your hog refuse to eat it, because at least you have the other one. Additionally, recalls are another unfortunate thing - hedgehogs are often like having a picky toddler, and they do not take kindly to sudden change. So having (again, at least) two different brands is kind of like a saviour should one brand disappear from store shelves for a couple weeks.
It's also just nice to mix kibbles to offer more variety to your hogs diet. But no, it's technically not necessary, but it is recommended.
Live insects also aren't viewed as 'treats'; they should be a regular inclusion of your animals daily diet.