Anything non-venomous / poisonous I run across that isn't from a dubious source tends to wind up floating for half a second.
My fish absolutely destroy june bugs. The only issues You'll find with the shell is when feeding them to smaller aggressive fish (ie 2" convicts), they'll tend to leave the wing section of the shell sinking to the bottom at times. Same issue with cricket legs, honestly. Larger fish should have no issue at all with beetles, as the ones in question are edible. ^_^
The only real issue with feeding caught insects is their source. Pesticides and poisons are a risk. Anything I catch gets a solid rinse before it goes swimming. Certainly doesn't assure safety, just a habit. It's a bit like eating raw oysters. One that'll put you in the ER can look and smell just like a perfectly safe one.
I have a known safe garden bed I go through regularly for earth worms. (No pesticides / fertilizers) I'll collect 2-3 dozen at a time in a plastic cup, and rinse them for about 2-3 minutes to cut down on silt.
At night, they'll get crickets / grasshoppers / beetles / etc from the wall around the light.
My JD's are growing very fast on worms, looking forward to the june bugs showing up.
Realize I'm not feeding the $300+ specimens some of the members here have, so adjust your risks accordingly.

I still feel safer than dropping in feeders from the lfs.