My Veiled also shows little interest in Dubias. I think it is mostly because, like another poster responded, they tend to settle in corners and remain motionless thereby not appealing to the cham. There is one member here who made a roach feeding dish by gluing a stick into the center of a ceramic bowl. The Dubias would climb up and down the stick and attract more attention due to their movement. Even with that Omar could not have cared less. My panther Clouseau, ate some nymphs from a bowl but I have not tried feeding him them another time yet to see if he really likes them. Some people will free range them but I will not do that. I do not want escapees setting up housekeeping in the walls of my house. Even though they (and Turkistans) are tropical species and supposedly will not survive the cold temps in PA, I don't trust that at all. Roaches are an amazingly resilient insect. Some who free range will do so with only males but the problem with that is only the adults can be distinguished by their wings. Prior to the last molt, they all look alike. Turkistans are another option. They also do not climb, jump or fly. But they are wicked fast. Omar did eat these but it took him a couple days to do it.
Buying calciworms from a pet store (which is what I am assuming you did) is expensive and they often have adult flies in the containers. If you really want to use Calciworms, they are available from a seller on ebay; rainbowmealworms, is the seller ID. IMO they have the best, healthiest worms over any other seller with an extremely reasonable price, a little over $12 (including shipping) for 100 and it gets cheaper as the quatity increases. You can get 300 for under $21. I took delivery of 300 on 12/28 and just finished off the last of them this week. I also take them out of the material in which they are shipped. put them in a critter keeper and feed them various fruits and veggies. They grow to at least an inch in length and 1/4 inch in width.