Every normal bug I’ve eaten was served with the exoskeleton on by necessity. This produces a lot of sharp crunchy bits, so you get little shards of exoskeleton stuck between your teeth and gums. Also the “meat” of them doesn’t have much bite, like with a cooked shrimp. I’ve only had ants, grasshoppers, mealworms , and silkworm larvae though. Maybe a very large grub with plenty of salt, steamed and then deskeletoned would be tasty. I don’t hold out much hope with my insect experiences thus far though.