Please post table design as DDL, some sample data as DML statement and the expected result.
Is there may be a UserName NULL? A compare on NULL ends in undefined result and so may don't return any result. Filter NULL out =>
INSERT INTO [dbo].[Settings](PropertyField, ValueField, UserName)
SELECT 'ALLOW_WEB_APPROVALS', '1', [Login]
FROM Users
where [Login] not in (Select UserName
from Settings
where PropertyField='ALLOW_WEB_APPROVALS'
and not UserName IS NULL)