What does Gatsby insist that Daisy must say to Tom when she is leaving him? Why does this statement present problems for Daisy?

The first part of your qeustion has already been answered. As for the second, telling Tom that she never loved him would prove to be a problem for Daisy because it's a lie. There was a time that she loved him, and she did choose to marry Tom, even though she promised Gatsby she'd wait for him.