Because the Thai Marines I was with told us to just eat them like that. They don't really taste like too much, kinda crunchy and gooey on the inside. When fried they are are just all crispy and have a bit more of a toasted flavor. I also ate liv ants, fried ants, fried grasshoppers, frogs, and fried cockroaches. Out of all of them the roaches were the worst. The rest were unremarkable of taste. The roaches you had to sort of crack the shell and suck out the inside and tasted sort of skunked.
Ok, ok, disgusting, I know.