Very few people feed bugs to their birds, live or dead.
Saying that, I have seen Charlie get a hold of a small green caterpillar and eat it. That was gross! Likewise, I've also seen him take a crap, walk off, forget he poo'd, turn around, walk back over to where he went, tried his own poo, realized how disgusting that was and then fling it! The look on his face was priceless! (as disgusting as what he did was!)
Birds are simply very curious creatures. Some birds are fascinated by bugs while others are terrified of them.
[ame="https://www.youtube.com/watch?v=OjaEI21vWFg"]Cuckoo Bird and the Flying Thing (umbrella cockatoo) - YouTube[/ame]
[ame="https://www.youtube.com/watch?v=JUgiBjAiMl8"]Meeko runs away from moth - YouTube[/ame]
If you are interested in feeding bugs, please keep in mind that too much protein can be bad for them.