Actually, I know exactly what you're talking about, but I don't think it's directly the insects. I've noticed when I'm slack in cleaning out my crix and mealie bins before throwing in the new ones, that's when I do the runny nose sneezing thing. I think it's just the poo and skin pieces that get stirred up and inhaled that cause the reaction. I've been doing a much better job with at least changing the cartons and using my little mini broom and dust pan to clean the bottom before putting new insects in. Also, the longer the insects are in the boxes (2 day vs overnight shipping) the more "dust" (sounds better than poo and insect skin) that is already getting put into bin and immediately stirred up. Kind of a bad thought, but I think more cleaning/changing of your bins will help. That causes a little problem when breeding mealies (I don't personally) since you need to keep the dirt, but... For me it's worth it not to have to grab a tissue with crickety hands
Hope that helps out a little!!
Good luck,
Erin