Why small parasitic or commensal insects tend to annoy us and larger animals, and that seems like a conscious, or at least purposeful,  act? Why for example to mosquitos circle around our ears? Is annoyance a tactic so to exhaust their host and feed? And why don’t they learn, even if they are chased awaynumerous times? If insects are able of some associative learning, why don’t they learn and come to us again and again and again?

insects have good memories and can learn behaviours very well - where they are relevant to feeding and/or survival.

From their "point of view" their primary drive is to feed and survive. they have evolved very efficient process to maximise the chance of feeding ad minimise getting swatted! Our view of that as humans is obviously different.

I would be very careful in ascribing terms like "conscious or purposeful" to insects - I do not think it has scientific validity.