I believe it because you forget to use the ‘ExecuteNonQuery()’ line.
Perhaps this helps you:
Obs.: My values come from text box this is why they are so weird whit that quotation marks.
SqlConnection conexao = ConnectionFactory.NovaConexao();
SqlCommand comando = new SqlCommand("Insert into MyTable values('"+ txtValue1.Text +"', '"+ txtValue2.Text +"'", conexao);
Hope this help.