A common chatter online states that wild bugs will spread parasites.
When you consult with a trained, reptilian specialist or a professional entomologist they will tell you that it is not correct. They are often misbeliefs spread by people who have not consulted with a professionals beforehand. That's how the rumor that crickets spread pinworm infections started.
My animals who need sun are out in it as often as I can leave them out, instead of under lights. They eat all sort of unfortunate critters walking their way. Trust me, if more people consulted with professionals in the fields of reptilian and entomology biology they would not be so afraid of offering their animals new and different feeders.
Most infections and health problems of reptiles in captivity are brought on by lack of adequate care, and higiene practices. That is where the bulk of the precautions should go.
Wanda