Best not to feed wild caught insects, especially from around the house as there's no telling what sort of chemicals they came in contact with.
Many toxins stay in the body and accuminate over time till they become lethal, thus it may be months or even years before a dragon eats one insect too many and ends up very sick. There is also other contaminantes besides toxins which may cause issues as well, like lead, aspestos. Then there is risks of parasites from insects which can infect your dragon as well.
If you want to give some variety to your dragon's diet, there are plenty of different kinds of 'farmed' insects now available online, such as roaches, butterworms, silkworms, hornworms, phoenix works, locusts, and others. The adult forms of superworms and mealworms are also great treats. Silkworm moths are also a great treat.
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