There are risks and benefits
There is potential risk to using wild caught insects. Parasites, pesticides, and one that is often overlooked:the bug may have eaten something good for it but BAD for chamelones (like tomatoe leaves). What type of wild prey you choose is significant. Note: Flies, a common prey item, can carry bacteria - Wild ones more so. Wild terrestrial isopods are heavy metal bioacumulators. Catepillars collected near roadsides may have pollutants on them. Many beetles will eat dead animals/ fecal matter. There is also the risk of you accidentally offering a bug that is in and of itself toxic.
etc.
Most of the risks can be mitigated.
I breed plenty of insects, have several stores locally and online from which to buy, yet I do still use wild caught insects. Not from a suburb or city area (which I consider poor collection areas, high risk), but rather an organic farm in the country and a park/wilderness area.
Im still knowingly running the risk of bringing home parasites to my chameleons. I believe that chameleons normally likely have some small level of parasites with them all the time. If the chameleon is otherwise healthy, and the particular parasite(s) not too awful, well then likely no harm done.
I do have fecal tests done with some regularity and have enough money saved to ensure any treatment costs are easily covered, if required. I also monitor weights and pay attention to "attitude" and "activity".
As there is some risk a wild caught bug ate something that will stay in its system long enough to cause harm to my chameleons. I try to reduce this risk this by keeping and feeding the wc bugs for at least a day to clear anything in their guts. This does not entirely remove the risk.
So far I've not had anything too serious result.
For me, the perceived benefits of occassional use of certain wild-caught bugs (different nutrients, chameleon interest/excitement) makes the risks worth it. But I mostly rely on / use bugs I breed myself, plus store bought crickets. There are lots of bugs you can breed easily, with little effort or cost.