Me either, don't know about nutrition, but I feed super worms to my geckos. And crickets, but you said he doesn't go for them. I do gut load my crickets though. I also feed butter worms on occasion, but they are high in fats, I wouldn't feed those.
I think the best approach would be as much variety as possible. Plus I think he'd go for worms over crickets. Which crickets have you tried? The brown ones? The black ones have too hard of a shell. That could be an issue.
Side note, I once fed a small cricket to my serpea tetras.....they tore that thing apart like a pack of piranha. He must be a very picky boi!!!
I know Repashy grub pie formula uses black soldier fly larvae and also Bug bites pellet food.