First, you don't need to powder the roaches food. I have raised many thousands, probably millions (4 species) of roaches in the past, and currently raise 3 different species--all of them have been fed dry cat food in its original form just fine. I think what you are noticing is that the powdered food is more "noticeably gone" when they eat it, than when the larger food is being "chewed" on.
Second, you are probably getting enough calcium in what you are feeding the roaches already (for the roaches to be healthy), so calcium isn't necessary for them. (Though it is a good idea for your herps.) When you feed calcium to the roaches, it is for it's gut loading capability, and dusting with calcium will probably get you much more calcium into your herps than bothering with calcium for the roaches to eat. Though doing both doesn't hurt. Egg shells are fine if they will eat them. Exotic bird breeders have been doing this for years. (baking chicken egg shells, grinding them up, and then sprinkling on the exotic birds food.) Baking will also make them very dry and brittle so they will crush easier. The membrane on the inside of the shells and the shells themselves will probably brown a bit (depending on temps. and time) when you bake them.
Rodney