Because one provide a large continuous chunk of meat, and the other doesn't? Also are insects gutted or do you end up eating their entire intestinal track?
... and neither are crustaceans. They're mollusks, and they're delicious when properly cooked (especially mussels, if you ever visit the north of France, Belgium or the Netherlands, you'll miss something if you don't try them).
I find oysters disappointing though, especially for their high price. They're just textureless, wet salty things.
French people also eat snails. With truckloads of garlic, to mask the dirt taste, they're quite nice to eat too.
Yeah, I think if we were used to having various animals whole on the table (even if we didn't eat certain parts) it would be easier to face a cricket on your plate.
I remember when I was little, I enjoyed fish- but my family once visited a fairly authentic Chinese restaurant, and ordered fish which came with the head and tail attached... I had such a hard time eating any with those empty eye-sockets staring at me.