Yes, absolutely! Dogs will naturally seek to consume insects when given the opportunity. Dogs have been eating insects for thousands of years, can easily digest them, and love their taste! Studies have shown that insect protein is actually as good or superior in terms of digestibility compared to beef or chicken.
With regards to insects being used as a protein in general, they appear to be a safe ingredient. The European Food Safety Authority published a risk profile of insects as feed. The committee’s opinion is that if insects are fed materials that are currently allowed for consumption (for example how our BSF consume clean, pre-consumer food waste), then the occurrence of microbiological hazards are expected to be comparable to that of other non-processed animal protein sources. They also state that environmental hazards are expected to be comparable to other animal production systems. In short, it is likely that if care is taken in the sourcing of the insects themselves, the microbiological and environmental risk of feeding insects should be minimal if any.
Note: only feed quality-controlled insect protein sourced from insect farms to your pet and not any insect found outside. Not all insects are edible for animals (nor humans).