If this would work on a human, how would a human attached to one of these perceive the foreign control? I'd imagine these electrodes would reproduce the brain signals that cause our muscles to move, but not alter our consciousness. So we would be aware that our own bodies were moving and responding to someone else's control. Imagine for example, wanting to stop walking but your body keeps on putting one foot in front of the other. Scary to lose control.
I'm not sure how far fetched that is, but it may be an interesting way to think about the morality of this device on roaches. I'm not sure if we know if roaches have a degree of consciousness, or if they operate 100% on instinct. Either way it's hard not to project or imagine some level of consciousness on the roach.
Once you do that, this device seems diabolical.