A few possibilities off the top of my head.

1. Flukers cricket water, maybe you got a bad batch. Try giving plain water in a bottle cap with a cotton ball.
2. Vegetables with pesticide residue? I don't know, but maybe try just organic carrots.
3. Something toxic being used to clean the critter keepers. Hot water and vinegar, rinse well.
4. Crickets suck :-P I know this doesn't help, but seems to be true.

Good ventilation is key. I don't know what else to suggest.

If you weren't in Canada, I'd say switch to roaches, but you can't.