I only feed my frogs a frozen/thawed mouse once every other month, just to mix up the diet a bit. I breed my own Dubia roaches, and I personally find crickets horrid little creature.... Hate the way they smell!
I feed nightcrawlers and dubias mostly. Horned worms when I can afford it.

If you take a step back and look at the big picture, all animals have a chance to harbor parasites and other nasties. They'd why parasites are one of the most successful animals in the world. However, there are many more water born parasites that I know of than parasites using insects or worms as their host. I just won't trust fish as feeders unless it is in something processed and cleaned such as pacman food.