Yes there is always a risk when feeding your pets with bugs that come from outside. Eighter from pesticides or parasites.
Pesticides won't always kill the bugs that walk into it but if a predator eats that bug he will injest the product and most likely die.
As for the variety in food, if your pet likes crickets, then don't bother trying to feed him anything else. I bought 4 nice and fat mealworms for my T. for christmas lol . I just thought it was funny to give him something different for christmas and he wouldn't even touch them. He was totally ignoring the worms .
When i gave him a cricket he snaped it right away. I also asked the pet store owner if it was important to feed him different things and he said no. It doesn't matter at all.
I will personnaly feed my T. crickets for the rest of it's life. It's alot safer and i won't need to see some little baby mice suffering . The only difference is i'll give him 3 crickets at a time when he's full grown . Another very popular food for Ts. is Roaches.
Hope this answers any related questions you had 
And don't feel like you're asking newb questions , everybody's been there
I'm still a newb myself .
Have a nice day
Krawll