If you want to additional protien I would just boil and egg peal it and give it to them. I think egg protein would be your best bet, because it's cheap and it would be more effective. Not all proten shakes are the same and it's different proteins, like why whey (isolates, concentrate, and hydrolyzed), casein, and egg protein. I buy a blend and still pay around $50 for 5lb's. The cheap stuff isn't as effective. I cant afford to take 1-1.5 grams of protein per pound of my BW daily. So I take a couple shakes, and try to eat more eggs, fish, chicken, and beef. If it ends up working and the dubia do give you more nymphs I don't think it would be worth it cost wise. All I do is offer a boiled egg once every 1-2 weeks and so far so good. If you want a really high protein feed, try gamebird feed, or fish feed.
Also I just checked and I buy a 4.6lb container for $50, 24 grams of protein per serving.