As the coconut crab implies, you can have fairly large creatures with exoskeletons, larger than most modern insects.
The main reason why we don't have "giant insects" in real life isn't the limitation on exoskeleton size, as most people suspect, but the fact that insects have no lungs. They rely upon tiny holes in their exoskeletons to basically vent their internal organs directly into the atmosphere in order to "breathe". Hence, an ant will start drowning if it falls into a single raindrop for even just a second or two. Giant insects (as in the size of your arm, not the size of a rhino the way that DF has giant insects) used to exist, but became extinct as atmospheric oxygen levels dropped globally. (Although there was an underwater insect predator that was like an 8-foot centipede...)
Also, remember the square-cube law. To support its mass, an elephant's thick legs are almost entirely made of bone, and it's impossible to support more mass than an elephant terrestrially unless it were made of materials with a better structural support-to-weight ratio than bone. A giant insect would have a very thick exoskeleton just to support its weight, which would likely make it slow, clumsy, and largely inflexible for the same reason crabs and turtles are rarely known for their grace.