Never tried cockroach - but I often munch some of the meal worms we buy for the birds.
Real wholesome nutty flavour.
On the cockroach side - sounds like you'd be better off eating the cockroachs food:
Quote:The Dubia cockroach is a frugivore that prefers fruits and grains[citation needed], shunning such high protein sources as meat or waste droppings from other animals[citation needed]. They particularly like semisweet vegetable matter. Appropriate feed for raising Dubia roaches includes: carrots, all manner of tropical fruits (mangos and papayas), apples, avocados, banana, cherries, pears, oranges, strawberries, fresh corn, tomatoes (some individuals show no interest in tomatoes while others eat readily), and lettuce (not iceberg or romaine)—many other leafy greens will be accepted[citation needed]. All grain-based dry cat/dog food, fish food, crested gecko meal and bearded dragon food can also be used to supplement their diet[citation needed]. They will also eat wheat bran and germ-based food products like assorted breads, non-sweetened breakfast cereals (such as Cheerios or Special K), and even softened pasta, although such diets must be augmented with edible vegetation and fruit of some sort to provide sufficient water[citation needed].