Well, the ones that can see in the first place.
Take your garden variety dragonfly, for example. They have those big honkin’ *eyeballs that can see all over the place. But do they have 30,000 eyelids? Nope. And no matter how they turn, some of the ommatidia are always pointed at the sun.
If I did that, I think my vision would be rather short-lived.
Anyone???
The structure of insect eyes is nothing like vertebrate eyes, having evolved completely separately. I don’t think you can make any analogies between the two.
Aren’t bugs in general pretty short-lived? Maybe they die before they go blind. Or perhaps they do go parically blind. I mean, how would you know? They begin running into things randomly? Don’t they do that already? 
How do you know they don’t? A blind bug is soon to be a dead bug, I reckon. I see dead bugs all the time. Maybe blindness had something to do with it.
Anyway, with all those eyes, I’m sure if a couple stop working, they’ll still have some sight.
Happy, not an entomologist
Why don’t they go blind? well 'cause they don’t masturbate, of course 
I’m guessing one of the differences is in the size of each of the lenses in the eye. The human cornea/lens is quite large and can focus a good shot of energy right onto the retina. By comparison, the lenses on an insect’s eye gathers little light individually, possibly not enough to do damage.
Another possiblity (taking into account my complete lack of knowledge about the physiology of the insect eye) is that an insect has very little need to focus on anything more than a few body lengths away. So their eyes may not focus on distant objects. This would mean that the sun’s rays would not be focused and would cast a diffused image on the retina.
love is blind
insects are incapable of love
ergo: insects are incabable of becoming blind.
Q.E.D.
New Scientist Last Word article: Insects with compound eyes will always have part of the eyes looking into the sun. Why don’t they go blind?
Actually, recent research shows they all seem to share a single genetic root. http://www.wehi.edu.au/resources/vce_biol_science/articles/eye.html (It also mentions a biochemical way of light adaptation.)