I think some parasites can build up in soil, so if you have a permanent tank substrate that you don't want to change that's something to consider. In the wild, having some parasites can be fine but in a small enclosed tank they can keep infecting the same frog until it's carrying way too many and gets sick.

I fed my white's a wild caught grasshopper before I knew better and had to treat him for diarrhea caused by excessive protozoa. The grasshopper might have been the cause.

I don't know that feeders sold in stores are without parasites of their own, but if the bugs are brought up in captivity they're at least probably less likely to come into contact with say, hookworms. Some people get crickets from the wild and breed them a couple generations in a clean environment to try to reduce the amount of parasites, but breeding crickets is difficult and crickets are rather smelly.