Whether or not a particular insect is actually hard to digest is kind of hard to determine. Originally people thought it was related to chitin content but some of the insects people believe are hard to digest contain less chitin than ones they think are easier to digest, so that hypothesis doesn't really work. The only time I've really had a problem is I had some salamanders that would pass black soldier flies through. A lot of times it was just the exoskeleton, though. The same salamanders digested mealworms without issue. Their main diet was crickets and earthworms. The next thing you'll hear about are calcium to phosphorous ratios, but again it's not a simple question since most insects ratio changes based on its diet. We know how to create an ideal ratio in most feeder insects by adjusting the amount of calcium in diet upward 24-72h before feeding. Finally, there have been suggested links between roaches and gout. The thought was the problem was the insects diet. However, I am aware of a recent necropsy involving severe goat where the roaches were only fed vegetables. Obviously, we shouldn't be basing anything off an individual animal but it will create concern if other, similar cases come to light.
