When using an insulin needle, the units markings are for units of insulin, or can be used as the percentage of a mL.
Your pharmacist most likely was advising you to use the volume in the syringe corresponding to the 25 marking, which would be 25 units of insulin, or is 0.25 mL. Which is what your doctor prescribed.
If you want to take 250 IU of HCG, the if the vial was filled to 1 mL (I don't know that it was) then 250 IU would be 1/20th of an mL, which would be 5 "units" on the insulin syringe, or 0.05 mL.
However, after you told your doctor what you preferred, did he agree to what you asked? If so, then the vial should have been filled to 5 mL total. In that case, 0.25 mL (25 "units" on the syringe) would give you what you asked for.