Some things that might be of concern are exposure to pesticides, possibly picking up parasites, concern about what the insect had been eating.
Concern with the parasites ...to me it not only concerns them having to be treated for whatever they pick up but is it a parasite they can handle?
Some parasites that normally end up in a certain animal may behave differently in an animal it wouldn't normally run into.
Concern with what the insect ate..if it ate something toxic to the chameleon that might kill the chameleon when it eats it.
For instance, wild caught horn worms have eaten tomato plants and that makes them toxic. Monarch butterflies have eaten milk weed which makes them toxic. Some Insects the chameleon wouldn't see in its native country and it may not recognize as toxic.
So does variety outweigh these things? Whether to do it or not is something you have to decide. I'm not saying don't do it...I'm just saying be aware of the possibilities. Be careful to select insects that are likely to be safe for the chameleon to eat.
You might like to read these...
http://reptiles.guru/chameleon/can-chameleon-eat-wild-bugs/
http://blogs.thatpetplace.com/thatr...e-best-foods-for-pet-chameleons/#.WTcpInopDMI
I don't agree with the canned bugs in the site above...but that's just my opinion.
https://www.chameleonforums.com/threads/what-wild-caught-food-is-toxic.42666/page-2
https://www.chameleonforums.com/threads/wild-caught-insects-parasites.36626/
Non-chameleon examples of wrong host...
http://microbiologyupdates.blogspot.ca/2012/02/when-parasites-attack-wrong-host.html