I found Banshees to be more annoying than difficult on Insanity. It's just a lot of running away, stopping and shooting, running away, stopping and shooting, and so on. Their ranged attack is easily avoidable with a combat roll. It's just annoying, whittling down their barriers and armor.
Heh, just killed my first insanity banshee . . . and you're totally correct. At least with an infiltrator, she went down quick. I completely overestimated insanity's difficulty.
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