This is gross. I'm a vegetarian, so I'm biased, but am I the only one that thinks moving from animal sourced protein to slow roasted crickets sounds obscene?
You're probably not the only one, but I suspect that this is driven by culture more than anything else. (Of course, this doesn't make you feelings any less valid.) Crickets are likely to be less conscious and 'sentient' than animals such as cattle, and so I think this is a very good step from an ethical point of view.
You can use google just as well as I can. Search for "insect feel pain".
They don't have the necessary nerves to carry pain signals.
As an example, if you cut off part of the leg of an ant it keeps walking like normal, and doesn't show any indication that it felt anything. (They used this with a cool experiment that showed ants count steps when navigating - the shorter legs meant they walked a shorter distance, but kept the same number of steps.)