Why megger uses different voltages to test insulation ?

This always comes to mind.

I understand that the megger checks high resistance across windings and ground chassis to make sure it has the right insulation.

But why does it use three different voltages commonly 250, 500, 1000 volts dc.?

Ideally, so one can test near the rated voltage of the wire insulation without exceeding the rated voltage of the insulation. Not all meggers test at those three voltages. Some test at higher voltages, some can just test one or two of those you listed.

To add to what gophert says above, if there were only 1 test voltage setting on a megger, let's say 1000V, all equipment operating below that voltage threshold would still be required to meet that spec, regardless of whether it would ever be seen in operation, adding additional manufacturing costs in order to achieve that rating.

The old mechanical meggers used about 500V, and that was it.

Essentially what you're testing has to meet a certain specification, so if that specification calls for 250V then you would need a megger that can provide that, likewise you would need a 1000V megger if the spec called for that.

But generally 500V has always been the default testing voltage.

Meggers were also good for testing EHT rectifiers, whch were commonly a huge stack of small selenium discs, and required considerable voltage to conduct in the forward direction, much more than a normal meter can supply.