Is a grey goo scenario on the "macroscopic" level possible, and why hasn't it happen till today?
Yes, it's possible. Everything in nature was created through natural selection.
Would it be possible for some sorts of insects to consume large parts of the biosphere, to multiply and consume even more of the biosphere?
Yes..
Or could this be done by some Kind of bacteria?
Who knows..
What kind of control mechanism keeps them from destroying the planet?
Keeps who, bacteria? That again would probably be natural selection.
Maybe this knowledge could be used for the design of nanomachines?
Nanotechnology capable of being fully functional molecular manipulators will probably be designed with many different uniquely artificial ways of manipulating that matter. I imagine we'll probably use some tools we see in natures molecular machines, but we are also going to develop our own. This means that they would be very hazardous to the environment if they ever were released. Nature wouldn't have natural defenses against artificially engineered molecular machinery.