The main concerns when feeding bugs to your fish are
1) pesticides from outside
2)they'll choke
3)irritants from the bugs. ie.-centipedes may produce nasty venoms and toxins.
-hairy bugs also produce irritants.
The irritants are the bugs natural defense from being eaten by things like fish. A stomach ache is probably the worst a fish will feel though.
But, things like worms, ants, june bugs are great, nutritious and free.
I say experiment with what they'll eat and what they won't eat. If they don't like it they'll spit it out, if they do, they'll eat it. Use you own discresion.