Illustrator’s transform tools are incomplete. Many attributes are not affected, such as drop shadows when rotating or, as you have discovered, text inset when scaling. Some earlier versions didn’t scale tabs or indents when text was scaled, either. This is because Illustrator is effectively in early Beta mode, has been for over a decade, and will probably always be before it is eventually (and none-too-soon) killed.
Ooooh. None too helpful. Does this mean it can't be done?
Edit: You could make the text object into a Symbol, then scale the symbol. Kind of a pain to edit, and if you need to do this with multiple text frames, then you end up with multiple symbols. If you use Break Link to Symbol the original text inset is restored, just like scaling it. This is a bug. If it weren’t for all the bugs, Illustrator CS4 could probably fit on a floppy disk.
Select the textframe object.
Symbol Palette: New Symbol.
Scale the object; the inset value will scale with it.
To edit the text, doubleClick it to edit the Symbol.
When done editing, doubleClick outside it. The Symbol Instance returns to its scaled size.
Release the Symbol Instance, however, and the inset value returns to its original size.