There's massive variation across insect species, relatively little research and no industrialisation on the scale of current farming. It's not useful to generalise all insects and all production techniques simply to "bugs are less efficient".

In a study of 236 edible species, protein content of dry matter ranged from 6% to 77%. [1]

And a study of a particular grasshopper found it had higher protein content than lamb, beef, pork, chicken, turkey and fish [2].

[1] https://scholar.google.com/scholar_lookup?title=Nutritional+....

[2] https://link.springer.com/article/10.1007/s00217-019-03383-0