I'll have to disagree with the disagreers. My arowana's tank was in the kitchen, and we hadn't noticed that cockroaches had begun living under the filter (like, between the filter and the lip of the tank). Well, what we did notice once was that a cockroach fell in the water and the arowana ate it. We didn't think much of it, but I'm assuming this happened often, considering the cockroaches were living RIGHT THERE, and pretty soon afterwards my arowana got sick. I put her on meds and she got better for a little while, but then she got sick again and died.
Don't feed cockroaches you just caught in your house. If you want to breed them, fine, but not the wild ones. Who knows what parasites they have. And what if they ate some of that Raid poison that takes a while to work? Our aros deserve much more caution.