The bloodworm (Chironomid midge larvae) has a hard head that can't be broken down or digested and that can sometimes cause blockages in the digestive tract of fish. Fish that swallow their food are more likely to have problems compared to fish that chew their food.I think it was @Colin_T who once posted why frozen bloodworms weren't the best food for tropical fish. Something about a hard undigestible body part if I remember right.
The other issue with bloodworms is they aren't always collected in sanitary environments and quite often contain some pretty gross bacteria that can survive freezing and make your fish sick.
Finally, live bloodworms have nippers/ pincers on their mouth and these can bite fish's stomachs/ intestines while they are being digested. This usually kills the fish.
Some brands of bloodworm are irradiated and are much safer than other brands that aren't irradiated because the bad bacteria get killed by the treatment.
NEVER feed bloodworms to Tropheus cichlids.