It depends on the process of insert. If you are using a cobol loop for multiple insert for each loop you will get SQLCODE easily.
but in case your are inserting more than one rows 'in a go' (INSERT through SELECT in sub query) then it is not possible to get SQLCODE for each row. Here you have to understand that COBOL replaces an 'EXEC SQL - END-EXEC' by API calls and the SQLCA gets updated after each API finish. Here an INSERT with SUB-SELECT (For muliple insert) generates a single API.
This is a good learning for me . I was unaware of this technique. But still my idea stays same here. A single 'EXEC SQL ... END-EXEC' generates a single API and SQLCA gets updated after each API execution (so is our SQLCODE). Hence Possibly getting "SQLCODE for each row by array" is looking difficult to me if not impossible.