Is insulating the exterior wall sensible or not?

The problem is that the substructure cannot be made stronger because otherwise we would have problems with the front door and the staircase leading to the front door. Everything would become too narrow. There is no space. That is why the question was whether I should rather put a narrow insulation into the 3 cm substructure or none at all.

Try using a search engine with ubakus. You can simulate different setups there. Isn't it possible to add a step at the door, for example? It almost sounds like you are mentally blocking yourself a bit.. You basically have the best conditions to do the whole thing really well. You can also use PUR/PIR, for example (if you work very precisely). It has a better thermal conductivity.

First, I would intensively check whether there are technical and visual solutions for a larger wall construction. We have just newly built with 20 cm mineral wool as insulation. If this is not possible, then definitely insulate with these 3 cm! In addition, use material with very good values (instead of 040, rather 032 or even better).