Well, I think there are two reasons...
Firstly, the pet reptile industry is still growing here, so the feeder insect business is not as well established. Mealworms, superworms and crickets are the only feeder insects that are easy to come by. But the variety is increasing. There is one supplier that is distributing pheonix worms at most of the pet stores/reptile expos nowadays, and there is a seasonal supply of silkworms.
Secondly, locusts are generally considered a pest species here, and have in the past wreaked havoc on our agricultural industry which is quite focussed on grain crops like maize. So I don't think there would be anyone in the agricultural industry promoting the large scale breeding of locusts.