Yes, it is scientifically proven now Cockroaches are Edible and healthy to eat and they are high in protein levels.
Cockroaches are Edible ,HIGH IN PROTEIN and HEALTHY TO EAT
But yes it should he cooked properly to kill its bacteria present on its body. We probably consider eating insects as disgusting especially in western society we don’t even consider them. But in many cultures, especially Asians including cockroaches and other insects they include in their diet.