Simcha has killed a few Palmetto bugs, but, to my knowledge, has never eaten one. Palmetto bugs are quite common in South Carolina. Back in New York City, where I grew up, they were simply known as cockroaches.
He has killed two American Chameleons (Anoles). He chases them, grabs them in his mouth and plays with them. He lost interest in them as soon as they stopped moving. I am not sure of the exact killing mechanism, but the head, legs and tail were intact.
Insects and lizards are certainly high protein sources. I do remember back in my wild and crazy college days, I and a couple of fraternity brothers bought a package of chocolate covered ants, presumably a delicacy. Tasted like crispy chocolate.