I don't know that it was insecurity, as much as playing his on-air persona of villain. I think you could expect that kind of talk from a lot of guys, and most of them would snap right back with a retaliatory insult. Unless they are kind of quiet or just plain nice, as Ethan clearly is, at this point too, we don't know how far the two of them go. If they were to both make it to final Tribal Council, I would expect that kind of a tease, especially if Rob expected to lose to him in that last vote.
Overall, I find Boston Rob to be highly entertaining, and I would love to see him replace Jeff