Rose Chafer Beetles are on the do not feed list,
http://ipm.ncsu.edu/AG189/html/Rose_Chafer.HTML Anything that bites or stings you want to be careful with ... chickens will eat them if they find them of course, but sometimes they do get bitten / stung. If you happen to collect them and want to feed them you can freeze them and then feed them to the chickens, like wasp nests etc. Some bugs like Milkweed bugs you don't want to feed because of what they eat they become poisonous to some extent, in general if the bug eats a poisonous plant it may be to some extent. A lot of bugs/snails/worms are possible intermediate host to tape worms, but they are about impossible not to feed and should not be a problem to healthy birds that are checked and kept utd on worming etc.