"Insert from URL" is a script step and you will not be able to do something in the middle of a script step. It will complete or error out before returning control to the user. If you do not want to wait for the web server to return the result, you can do a "Perform on Server". This is useful for scripts that take a long time so that control can be given back to the user before the job completes.
not strictly true...
it can be attached to a button
and you could theoretically move to the next record...
Button is a form of one step script, and can't leave from the record while inserting.
(Tested with php script sleep() function as server.)