I would be more worried that the bug itself was venomous than that it had picked up some man-made chemicals somewhere. I suppose if you fed your fish exclusively on bugs and you fed them lots and you were around a lot of farms and such you might over a long long period of time have trouble but just sounds like more fish keeper's paranoia to me. Many species thrive on insects in the wild, presumably these insects have the same likelihood of hitting the chemicals as the ones youre feeding do and somehow fish in the wild survive.
