Besides chemical exposure risks with wild caught insects you also risk introducing your frog to parasites. One of the worst and hardest to detect are tape worms which can seriously harm your frog. Once they reach a large size they may have to be sergicaly removed. Sergery is highly risky for frogs because anestesia does not work well on them and they will wake up during sergery. I do not want to even have that picture in my head. Many types of worms infect insects and mammals. Tape worms are very common in Grass hoppers(Locusts). There really is no safe feeding of wild caught insects to your pets.