Just like most of your cats, some of my cats don't really eat/chew insects. They like to play with them. Sometimes I see them chasing grasshoppers, crickets, and cockroaches. They catch and paw them till the insects die of rigor mortis.
Sometimes I catch one of our cats staring at a corner where possibly a cockroach would come out. Then he would play with it until it dies. When I see them chasing lizards, I stop them. Lizards help keep the mosquitoes at bay. I don't want my cats attacking our house lizard friends.
For roaches, I don't mind just as long as my cat won't come to kiss me after playing, smelling of freshly-squeezed roach.