I'm an entomologist of sorts--I've been collecting bugs with my dad since I was 8 and have a very large collection... and I still cringe at the thought of roaches in large quantities anywhere near me. I gues I have a double standartd for insects... But, I will tell you what I've been doing for protien supplements for my ducks... I raise moth and butterfly larva. right now I have luna moths, you can pick up a few eggs relatively cheap from someone on line and raise about 10 to adulthood, they will hatch, mate and lay a million eggs. I also have tiger moth larva-I found the moth laying eggs on the weeds in my backyard...I've got about 250 of them. Basically if you have the foodplant for a species (minor research involved, but you would be suprized by how many plants you already have can be used) you can just put some stems of that in a hole in a clean sourcream container filled with water that has been put into a old aquarium with a screen/see through mesh top rubber banded around it and the larva will go to town. Just replace when it looks depleated and replentish the water in the container periodically. At 3 weeks old luna moths are an impressive size, about 2" long and as thick as a finger... they get to about 3 1/2 inches to 4 inches long before they pupate...and they are really cool looking.
you can really just raise any medium sized moth larva that eats something convenient... like sphinx moths (who eat tomato leaves and grow to epic sizes) or tiger moths (many eat rasberry, dandelion weeds, thistle weeds, and most other weeds in your back yard), or silk worms (they eat mulberry leaves and are a cinch to raise and aquire) and you can have a less ugly option for protien in your bird's diet... and if any escape, its not going to kreep people out.
With just a little entomological research into your area's moths or butterflies (never use monarch butterfly larva because they are poisonous) and you can find a simple larva/feed bug to raise--often without buying anything... the only setback is that winter generally does away with most foodplant in cooler areas. Although my passion vine in my backyard never dies and the gulfrittilary butterfly caterpillars that eat it get to a decent size. If I moved them inside and kept the cycle going in the winter, I could probably pull off a good protien source that way too (the life cycle is very fast with these butterflys--(only a week to 2 weeks as a cacoon) .
Basically, supplementing protien can be free to you and not as gross/creepy as roaches or even mealworms.