Yeah. It's a little muddled because it was released during DS9's seventh season, but the context seems to place it afterwards, with the war in the past tense.
There's no stardate so it's still open for some debate. I used to think it was mid-season 7 due to the release date and Worf still being posted to DS9, but now I think it's more likely to be afterwards.
There is a line in Penumbra (I think) that the Son'a are Dominion allies, which makes sense because in the film they produce Ketracel White for the Jem'Hadar. So if Insurrection is after the war it makes more sense that the Federation would be trying to make peace with them, rather than dealing with an active Dominion ally.
My personal head canon is that it's set during the events of What You Leave Behind - between the Dominion fleet surrendering and the signing of the armistice on Deep Space Nine. I guess Winn and Dukat were in those caves for weeks.
Insurrection isn't set after the war. The War is spoken of multiple times throughout the film in the present tense. Memory Alpha speculates the events of Insurrection takes place between 'It's only a paper moon' and 'Field of Fire'. Also the Federation were not trying to make peace with the Son'a. It's made very clear in the conversation between Admiral Dougherty and Picard that the Son'a were considered outlaws and that they were just using the Son'a for the technology they had that could mine the rings of the Ba'ku planet. The Son'a were only co-operating because the planet was in Federation territory.
Although I think you're right about Winn and Dukat in the Fire caves. They spent a ridiculous amount of time down there.