Your article didn't state so
but the outer shell or exoskeletons are not digestible by dogs. So a few eaten won't hurt, but if enough shells pile up in the intestine it might cause temporary problems. In another words the bug isn't poisonous.
Given my two coyotes preference for killing bugs, and eating shrimp tails (yummy) it might be an interesting summer with them in the pen during the day. An interesting thought is that maybe greasing the tract with fish oil might help? Of course too much fish oil and all kinds of things might slide out too quickly. ;)