Watch your cat carefully the next time it catches an insect. The cat will eat it, eventually. But not after playing with it for a good few minutes. Cats are cruel. They bring their prey to the brink of death, then release it only to catch it few moments later and repeat the process.
A cat's jaw is delicate. The prey a cat normally choses has beaks or teeth or claws that can damage that jaw, causing infection. That could easily kill a cat. One possible reason that a cat "plays" with the prey is to minimise the risk of an injury near the jaw by wearing out the prey to the point that a killing bite can be given.
Source: I have two cats.