No "Post Format" option

Are you sure your theme supports post-formats? Do you see a post format selector in the blog post editor? The option to set the format will only reveal itself if your theme supports them.

Wonderful plugin – the best for this.

I have the same problem, and I am using the standard 2011 theme. The allowable post formats available when I make a post are:
Standard
Aside
Link
Gallery
Status
Quote
Image

However, I am not given the option to select a post format. Thanks for the help.

There is a fix for that in the development branch that will be the next release. Would you be willing to test it out? https://github.com/jtsternberg/DsgnWrks-Instagram-Importer-WordPress-Plugin/tree/1.2.6