Please visit Idea Pond, here, to submit an enhancement request, or vote on it if there is already one created.
WORKAROUND:
Right click on row and choose to "Copy Rows". This will give an option to "format copied grid data". Choose to "Include headers, insert statement format". This will format the copied data to include the column names and values, in the format of an insert statement.
Open an editor window, paste the copied info. Then finish creating the insert statement based off the copied info, make any adjustments to the values if needed and run that statement.
Sample:
Copied from data grid -
