We have the same cultural reservations about shrimp. We do not normally eat the head, tail, exoskeleton, legs, gills, or poo-filled gut. It's pretty similar for chicken; nobody eats the feathers and beaks and poop.
Shrimp is nevertheless popular however. We simply remove the parts for which we have cultural reservations.
So, where can I get insects that have been properly prepared, just like shrimp?