Both my shed and my kennel are insulated with polystyrene sheeting. However, I don't have any purpose built vents - just the bunny flap (approx 8 inches square) which is open 24/7. That is sufficient to allow the air to circulate and I have no problems with damp etc.
The insulation definitely keeps the shed more cozy in winter and much cooler in summer. However, I really don't believe it's essential for most outdoor buns who cope absolutely fine with their thick winter coats. They usually still sit outside all night, even in the coldest weather. For my own peace of mind (especially for the older buns), I like to have it and have even installed heating so that water bowls don't freeze in exceptionally cold weather.
But if you want to go ahead and fit some then you'll certainly feel happier about them in extremes of weather. A vent of some description is essential though if you want to avoid damp. Dry and cozy with a good breeze blowing through makes for a lovely winter home!