I wouldn't risk it if I were you. Better safe than sorry. No telling what they walked thru before you grabbed it. They could introduce anything and everything to your tank and wipe it out. From germs, pesticides, parasites, etc it just to risky. On top of that, I have never heard of feeding any live food that wasn't in an aquatic state to a fish tank as a food source.
Eheim Pimp #509
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The Fraternity of Dirt #146
It depends on what chemicals could be in the house. My best friend feeds ants to his zebra danios, but he lives in the country, does not use pesticides, and gets the ants from outside. I dont think he has had troubles yet...
I was always tempted to feed my fish house flies and spiders. I don't use pesticides, but I am still too wary about actually dropping them in the tanks. I've probably done it here and there, but you just never know what parasites they carry from outside before they entered your house. Same reason I spend 10 cents per cricket to feed all my leopard geckos instead of just harvesting them from outside.
I've fed squashed flying ants to my Rainbowfish and they love them - provided they are well mashed up first. Insects are a *natural* food in the wild but I'd wonder about centipedes because of the venom factor. You might not want to squash one up first My Rainbowfish won't bother with a flying ant if I don't mash it up first. (I also live in the country; no pesticides here.)
I also meant to add, at least this goes for black crickets as opposed to brown for my geckos, sometimes certain bugs have a shell on them that is not so easily digestible, just something to keep in mind.