The setting is on a train during an ice-age so they really need to make use of the space efficiently. They don't really go into what the cockroaches eat, I can only assume waste from the population.
My guess is that is how things would play out with insects as food for humans in the real world, too. The poor will have to eat grubs and crickets "for the environment" while the rich continue to eat as and what they please.
This is my guess based on my experience of how food works in the UK. If you can afford it, you can eat fresh fruit and vegetables, or the best cuts of meat. If you can't, then tough: it's kebabs, sliced bread that's high in trans fats, sugars and salts, and at best tinned veg and fruit, for you.
What? In continental Europe vegetables, fresh or tinned, are by far the cheapest option. Meat is always expensive.
In fact (AFAIK) in some countries outside of the US it's not even uncommon/surprising. That's what I thought was weird: the director was Korean. IIRC there's Asian cultures that eat scorpions or other similar stuff.