I have been promoting trying a cicada or 12 for a different eating experience so I want to post the concerns I've discovered about cicada consumption.
If you are allergic to shrimp or any other shell fish you may have a reaction to eating cicadas.
They are both arthropods. Again you already eat ocean bugs . . .
There is some research - so far mostly unpublished - that cicadas may slightly concentrate mercury. Nothing like tuna or shark, king mackerel (a great game and eating fish - off Hilton Head I've had super fishing days with these) or any top predator fish -- but I mention just for anyone who may have mercury concerns. As this research is still preliminary I can't give a link or quote a source. There was a study done in Ohio in 2004 and significant amounts of mercury were found (again not as high as canned tuna, etc.) but since then the few sources studying this have not been willing to publish yet. I'd caution though that if you are pregnant - especially if you live in Ohio - you should treat eating cicadas the same way you approach eating swordfish or tuna, etc. There may be more research out there.
I haven't been able to find any examples, but eating raw cicadas live may expose you to harmful bacteria or parasites. From what I've read this seems to be a low risk practice but I don't recommend. Even though most parasites are species specific I'd cook them. Only my personal preference. And as much as I consider myself adventurous when it comes to food I still can't eat live critters in any form. One of my cultural prejudices.
As far as cicadas containing toxins -- common sense would tell you that if they were exposed to toxins they would have been killed or at least compromised and therefore prevented from emerging. The cicada isn't a super bug and is susceptible to insecticides, etc. There are virtually no warnings and lots of recipes online. I can't find any reputable sources that think cicadas pose a toxin issue.
Anyway - that's it for now.