Yes,the deep fried insects are wellknown for a weird menu but not only in Thailand I know that China also like eating the same things.. fried insects become international dish !
There are many types of insects put on the fry such as grasshopper, bamboo worm, scorpian but of course some methods are applied to remove poisons out. From your BBC I just knew that even cockroach and beatle are also not exceptions.
To be honest, I never try it myself , just feel that they are not for eating and can't set up my mind to take them into my mouth. Good luck to you.