It's amazing what some dogs will eat, lol. I think that the only thing to worry about as far as them eating insects is if they eat enough to fill up their stomach and can't digest them. This has happened to some people around us with the 17-year locusts (cicadas). When it's the year for them, there are soooooo many that dogs/cats eat them and fill up their stomachs with them. They can't digest the hard shells on the bugs and they build up and cause a blockage.

If she isn't eating too many, I wouldn't worry too much. If you're worried anyway, maybe call your vet and find out what they can advise.