There is a post describing this issue and a temporal fix available from the nitrc conn toolbox forum (http://www.nitrc.org/forum/forum.php?forum_id=1144, login required; you can also download the corresponding bug fix file from http://www.alfnie.com/software/conn_process.m; download this file and save it into your conn distribution folder overwriting the existing file with the same name)
Just for reference, if you still would like to export the conn toolbox first-level connectivity maps into SPM, the files
contain the connectivity maps for each subject/condition/source (e.g. fisher transformed correlation values if using ‘bivariate correlation’ connectivity measures). The file _list_conditions.txt in the same folder will tell you the association between condition numbers (as appearing in the BETA* filenames) and condition names (your task conditions), and the file _list_sources.txt in the same folder will tell you the association between source numbers (as appearing in the BETA* filenames) and source names (the ROI names as defined in your conn project). Since you are only interested in the connectivity with the insula seed area you should simply find out from the _list_sources.txt file which source number corresponds to the insula ROI (and from the _list_conditions.txt file which condition number corresponds to your task of interest), and enter the corresponding BETA* files (one per subject) into SPM for additional second level analyses.
Hope this helps!