Seems people in Brazil are! Thanks for the tip Marwa Shumo!
The cockroaches in question are not the ones we see running (or even flying—AHHHHH!) in our houses, though. They are the species Nauphoeta cinerea, a different one than we find in city sewers or drains. Researchers buy the insects from a specialized breeder, where they are hygienically produced and fed on fruits and vegetables to meet all hygiene requirements required by ANVISA, the Brazilian health surveillance agency. The study supervisor, professor Myrian Salas Mellado, says that ten percent of the cockroach flour could replace wheat flour in a given recipe, so cockroach flour bread loaves keep the same flavor as their non-insect counterparts.