This is conjecture- maybe we have a parasitologist lurking who would comment- but I wonder if the odds are that our lizards are more likely to catch parasites from home-bred feeder insects than in wild caught.
Here's why I wonder-
1) most parasites are very host specific. Meaning that yes, you might have parasites in the insects in your yard, but no, most probably won't effect your lizard.
2) Often people clean, then feed. And when they feed they touch doors, etc that may have had fecal contamination at some point in microscopic amounts (for example- open the door, clean the cage, close the door- you may have just put tiny amounts of fecal material on the door, including cysts of parasites, many of which are very sticky and resistant to cleaning). So next, you come back through, touch the drip cups (maybe you already got drip cups going when you were cleaning the cages even...) and possibly transfer cysts or whatever into the water supply. Next you grab a cup, scoop some feeder bugs, go back along, touch a cage door to open it, touch the cup to put the feeders in the food dish you are now touching, touch the door again to close it, put the cup back into the feeder colony to scoop some more roaches or whatever and bam- transfer some cysts or whatever that are now carried by your feeders. Or maybe you take uneaten feeders (possibly after the lizard pooped down the side of the food bowl) and put them back into the feeder colony. Or maybe you free range your feeders inside the lizard cage once you offer them to the lizard, and they climb around through practically microscopic bits of lizard fecal material because you keep the cage very clean, and maybe they even eat some of it before the lizard eats them- reinfecting the lizard...
Etc, etc- basically it's the circle of life contained in captivity.
Even in very clean setups- stuff gets spread around more than most of us would care to imagine. The same, by the way, is true of human to human contact... (eeeeewwww!- all kinds of things involving face-licked dog owners and door to door salesman and grinning politicians who like to shake hands come to mind).
I think the odds that a grasshopper out in the yard is going to carry something that my lizard can catch are much smaller...