We probably shouldn’t be eating insects until we better understand the effect of chitin (insect exoskeletons) on neurons and its role in the development of dementia …

Chitin levels are elevated in Alzheimer’s disease (AD) patients, not only in the central nervous system but also in the cerebrospinal fluid and plasma.

Chitin can be toxic for neurons, and its accumulation may lead to the development of AD.
– Possible Role of Chitin-Like Proteins In The Etiology Of Alzheimer’s Disease, Journal of Alzheimer’s Disease, 2018

… or its role in any number of diseases:

Chitin, chitinases, and related compounds chitinase-like proteins, the chitinase lectins, participate in the pathophysiology of a growing number of human diseases. There are immune disorders such as asthma, neurological diseases such as Alzheimer’s disease, genetic problems such as Gaucher’s disease, and several disorders of unknown origin that include sarcoidosis [4–7].

Unfortunately, we may not know if we are eating insects because they are being ground up and added to packaged foods such as energy bars, pasta, breads, and chips.

Farming and transforming insects into a food ingredient for packaged products is a new development. Particularly in North America and Europe, some new, small companies are transforming cricket (and mealworm) powder into packaged food (energy bars, pasta, and chips among the examples).
…
Since insect powders (flour) in packaged foods represent a new category of food product, little market data and/or surveys are available.
– Edible Insects: Cricket Farming And Processing As An Emerging Market, Journal of Insects as Food and Feed, 7 April 2020

It’s even being marketed as the new protein powder:

We really need to slow this down.