Apply an INSERT in a query with UNION

The fastest way is to make the information load as a subquery from the from.

SELECT *
INTO #AR_TABLA_TEMP_1
FROM
(
    SELECT *
    FROM AR_SALDOS_TOTALES_CVEN
    UNION
    SELECT 'TOTAL' AS TERRITORIAL,
       SUM(ENEM_18) AS  ENEM_18,
       SUM(FEBM_18) AS  FEBM_18,
       SUM(MARM_18) AS  MARM_18,
       SUM(ABRM_18) AS  ABRM_18,
       SUM(MAYM_18) AS  MAYM_18,
       SUM(JUNM_18) AS  JUNM_18,
       SUM(JULM_18) AS  JULM_18,
       SUM(AGOM_18) AS  AGOM_18,
       SUM(SEPM_18) AS  SEPM_18,
       SUM(OCTM_18) AS  OCTM_18,
       SUM(NOVM_18) AS  NOVM_18,
       SUM(DICM_18) AS  DICM_18
    FROM AR_SALDOS_TOTALES_CVEN
) X

You need to create your Insert in a different way so you can use the Union:

INSERT INTO INTO #AR_TABLA_TEMP_1(valor1,valor2)
SELECT valor1,valor2
FROM AR_SALDOS_TOTALES_CVEN
UNION
SELECT valor1,valor2
FROM AR_SALDOS_TOTALES_CVEN

I hope and serve you. Greetings.