If they really did, you'd expect to see calls to mitigate insect deaths as part of their usual dialog. They're apathetic. If you ask them, ostensibly they might object to killing insects to stay consistent, but they won't bring it up.
THat's pretty much in line with naturally expected behavior, because intuitively we don't expect much from insects.
I don't feel comfortable speaking for ALL vegans, but in my house, we gently move spiders outside. We would also be totally fine with killing a mosquito. My general theory is that it is fine to hurt an animal if it attacks you first, but it's cruel to do it whenever it can be avoided. Just like all other forms of violence.
I also avoid killing insects and spiders, especially if they aren't dangerous and aren't bothering anyone. We don't use pest control to "keep bugs away" either.