Depending on where any given Stone Age tribe lived, they may simply never have been desperate enough. Why eat cockroaches when you can get oysters… or mastodon steak… or venison… or fish… or whatever, you know?
Some stone age folks DID eat insects; ants and grasshoppers were staples of two different groups I can think of.
And, off in the land of pure speculation, it seems to me that protein-to-effort ratio counts for something, too. I can spend all day hunting a buffalo, because once I bag the sucker, my whole family can eat off him for a week.
If, on the other hand, I spend the whole day digging for mealworms, or catching grasshoppers, by evening, I’m lucky to have enough for a good feed for me alone for one meal.
Economically, it seems to me that the buffalo’s the better deal.