The whole idea of directly eating insects is stupid. They can be fed to animals we normally eat (e.g. fish). The advantage is that insects can process stuff that we would otherwise throw away, and are very efficient.
More directly to your point, isn't there significant energy inefficiency from eating higher on the food chain?
Where insects could make a big difference is replacing more expensive or less effective inputs into higher-level products, ideally commodities. For example, if we could produce breads using crickets that have higher caloric densities for the same price that would be a huge global win. We're not there yet though.