GG Allin said:
You get something extra and you complain. You realise some people go to special restaurants for this

.
Bread/fluor also contains smal parts of insects. But it doesn´t hurt you. With the massproduction they try to seperate the insects from the grain but it can never be 100%. Or do you like sausages ? What are they made of? There is no reason to get paranoia over something like this, if you hadn´t some allergic reaction.
I think it's more the thought and concept of it. Not too many people are keen on the consumption of insects, as very evident of my housemates in my own experience when I ordered a pack of roasted crickets once to snack on.
It's funny because in western cultures it's totally normal here to consume crab and lobster which look like giant ocean spiders and ocean scorpions, but we won't so much as touch a roasted chocolate covered tarantula. I'm very into edible insects and only don't consume them so often because it's so ridiculously expensive to order them.
Anyways, from what it appears, the cockroaches are roasted with the grains anyways so as far I can tell they're 'cooked' and the only thing to really be concerned of is allergies. If it bothers people so much maybe do a bit of research on your coffee and look for alternatives... or you know, stop drinking it because the caffeine's not good for you anyways and big brands are obviously jewed to absolute garbage.
The vast majority of people don't know this for obvious reasons but dandelion roots picked from your own backyard can be cleaned, dried out and then ground up and roasted, and then they can be used just like coffee grains. It tastes and looks almost exactly like coffee without the caffeine and it's much healthier, plus you know where it came from and you're there for the whole process.
You can look up Dandelion Coffee for further information. Could be something to consider for those who deal with and see this very common weed all the time in spring and summer.