I've read in books NOT to feed wild caught insects because of parasite risk and also read in others that it is good because of variety and nutrition. I will say that I cannot believe that the pet store purchased insects are at any less risk for parasites than are wild insects. I will also second the previous post about snails. Snails are known to be intermediary host animals for parasites intended for animals that eat them. I do not know of any specifically that infect reptiles though I do know of some that infect birds and some that infect aquatic animals via snails. I would probably be worried about feeding wild snails to mine, the degree of fear escalating with the mean temperature of the area in the world the snail was caught. (I believe snails from warmer areas, say Okinawa, would be more inclined to have the parasites than in a cooler climate such as the UK).
I raise my own blaberus, buy some insects at the store, and my kids catch insects in the summer for them. I must approve the insects first. We avoid anything with red, caterpillars with spikes or fuzz, spiders, and specific insects that I know are bad such as the monarch butterfly caterpillars.