You are right, I would be scared to eat bugs as well. Who knows where they'd been. Taking my cats to the vet it's waaaay cheaper than ME going to the doctor.
the main reasons you'd worry about wild bugs would be possible pesticides riding on them (unlikely) and parasites (still not that risky) its not enough to really concern yourself with. but then I'm someone who doesn't bake found sticks in the oven before giving them to my reptiles either (I'm more likely to sanitize the stuff they actually have IN their cage, that's more likely to be covered in poop bacteria)
But poor spider
I am conflicted