We have the same cultural reservations about shrimp. We do not normally eat the head, tail, exoskeleton, legs, gills, or poo-filled gut. It's pretty similar for chicken; nobody eats the feathers and beaks and poop.
Shrimp is nevertheless popular however. We simply remove the parts for which we have cultural reservations.
So, where can I get insects that have been properly prepared, just like shrimp?
Even in Western countries, this varies. For example, in many European countries, there are various dishes involving small fish that's cooked and eaten basically whole, with intestines and all. Examples include Baltic sprats (usually smoked and then canned in oil), or Bulgarian tsatsa (same fish coated in flour and deep fried). Both are delicious, by the way.
I looked into raising crickets, but most of my research suggested that they aren't any more efficient than chickens. It seems that a lot of the studies we currently have are poorly done or not transferable to mass production.
In addition, the amount of extra work for processing crickets made the project less than optimal at least for a small operation.
Pink slime can now be sold as beef mince in the US. How hard do you think it would be to get powdered cricket labelled as 'protein enhancer' or some such?
Plus people will happily eat things with cochineal [1] in it, so I can't see highly processed insect additives being a problem. Won't be called Cricket nuggets though.
It's already done, and has been for ages - dried crickets can be ground into "cricket flour". This takes care of the things crunching while you eat them.