Of all the critters that people feed live “bugs” (i.e “bugs”) to, snakes are one of the least likely.
Food items like live crickets are usually fed to animals like lizards (probably most common example), frogs and other amphibians, fish, birds, predatory invertebrates (like spiders and scorpions), etc.
In the case of pinhead crickets, those are usually purchased (in large quantities) by people breeding insect eating species since the young are too small for anything larger than the youngest and tiniest food items or for people with a large collection of animals like poison dart frogs that need very small, fairly fragile food items.
As for the debate of local pick-up versus online orders, there are pros and cons to each, and different people have different situations and needs. At the end of the day, in my part of the world, pretty much all the places I’d go to pick up crickets locally are just getting them shipped in from large scale cricket breeders anyway, so if you need a bulk order of 1000+, it’s likely cheaper and easier just to order them online and have them shipped. Also important to note, these aren’t just random crickets someone collected in their back yard, these are a specific cultivated species that’s been grown in relatively sanitary conditions so that they aren’t carrying harmful parasites and disease or covered in dangerous pesticides and chemicals.
I’m disappointed to hear that that about Josh’s Frogs. I’m a fan of the company overall and had great experience with them, but I have never bought live food or live animals from them. So, I’m a little surprised to hear that they’re shipping roaches and crickets this way. Otherwise, they’re my go to for a lot of other hobby related stuff, so I hope they have made some improvements on that front.
For clarity, I imagine that the species of roach you ordered were likely something like dubias.
For anybody that might see this, most of the roach species used as feeders (or even kept as “pets”) are not associated with diseases in humans and would be highly unlikely to become an infestation issue in most domestic situations outside of fully tropical climates (and even then it would be unlikely). These are critters that need stable, warm temperatures and fairly high humidity, as well as appropriate food sources and surprisingly clean environments just to keep them alive in cultivation. Your home or the post office (in North America) is unlikely to be conducive.