Seems like pillbugs are good for the compost pile.
Pillbugs form an important component of the larger decomposer fauna, along with earthworms, snails, and millipedes. All of
these animals return organic matter to the soil where it is further digested by fungi, protozoans, and bacteria, hence making
nitrates, phosphates, and other vital nutrients available to plants. Although they may occasionally feed on roots, pillbugs do
minimal damage to live vegetation and should not be regarded as pests.
On the 2nd question, yes, insects would make a fine contribution to the pile. Insects are a rich source of protein, which contains nitrogen. I've seen guys composting large animals (hogs) with frontend loaders to insert them into the pile, though, I wouldn't recommend composting animals for the average gardener.
I couldn't find anything specific to composting insects, but if we work on the assumption that chickens are harder to compost...
Research at the University of Maryland, and field application in other poultry states, have shown that normal mortality can be handled efficiently and safely by composting dead poultry. Composting is a natural process in which beneficial organisms--bacteria and fungi--reduce and transform organic wastes into a useful end product--compost--which can be used as a fertilizer and soil amendment. Although simple in concept and design, dead poultry composters require attention to detail and careful management. Effective July 1, 1992 properly constructed and properly managed dead bird composters are an acceptable method of handling normal flock mortality in Virginia.
Just think how much easier composting a grasshopper would be.
The recommendation from the Hopper Stopper is:
When the grasshoppers die, simply unclip the lid and throw the dead grasshoppers in the trash or compost pile.