The thing is, you don't know if the BUGS in your yard have no pesticides. They could have come from down the street, or chemicals could have washed into your yard from somewhere else when it rains.
No, pesticides have nothing to do with an immune system. It's not like a virus where you develop antibodies, it's like eating rat poison. The more poison you eat, the more damage is done. There's no 'getting used to it'.
Stick with feeding him store-bought. Just because they look healthy does NOT mean they are pesticide free! Insects are often not affected by pesticides like they were intended. Just to clarify, this is NOT immunity; a single animal can't develop immunity to poisons. It is because over hundreds of thousands of generations, genes that allow an insect to function around the poison are naturally selected for, and those few insects pass on their genes much more than those that can't handle the pesticides.
Bottom line is, when you feed anything wild caught there is a risk it will harm your frog no matter how certain you think you are that it is safe, because you don't know where it's been. You can spend just a few dollars a month to buy feeders you know are safe.