They will sometimes do that when they are mad. Every so often mine will "snort" when I walk past her cage then walk out of my view. Still wouldn't hurt to get yours checked out though!
It can take a while for them to get used to their surroundings and to feel comfortable eating. Also, make sure the crickets are the correct size for the cham.
Oh jeez... I just ordered some Hornworms.... I sure hope my cham doesn't start only wanting those! haha! I get roaches from a local lady by me for dirt cheap - way cheaper than the worms are. I'll have to test the waters on that. I would be careful giving them something to where it turns into...
I cup feed the roaches - which is why she would rather have the crickets I think. We have always free range fed her until we tried roaches so it took her a while to understand that the cup had food in it for her. The first time she cup fed it took her about an hour to finally go down and eat...
My veiled seems to really like Dubia Roaches. She would rather have crickets (I think she just likes the hunt) but she loves roaches too! They are super easy to keep and easy to gut load.
I feed my Chameleon Dubia Roaches. She wasn't too sure about them at first but now she loves them! I have found them to be much easier to house than crickets too. She would rather have crickets but she gladly takes roaches too. :)