Do you have a local reptile store? Mine carry's them not to sure if many others carry them though. Or you can start your own colony, I'm sure someone on here in the classifieds could get you started.
My guess would be since your male was used to roaches he may be holding out. Once he realizes they're not coming he'll probably get better. Or do you have a way to get some roaches?
I had a fan blowing in my room where I had one of my chams. She developed an eye problem and died. I contribute it to the fan I had going. May not have been the fan but that's the only thing that was different than all the others. Her vet also thought this could have been the cause.