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

It depends. They figured out that more than about 15% soy in pig feed gives the pigs cancer and other diseases. Soy isn't just nutrients, there are pesticides the plant produces which can cause issues. I think fermenting soy into tofu deals with a lot of that, but I don't know.

Bugs have the chitin, which some animals (like us) don't digest super well. You also need more than just the protein, so why not let your chickens eat the bugs? They're real happy to do it and it makes the chicken taste better.

Bugs as a protein source in agriculture is probably underutilized in the west. It may be less economical today, because growing corn and soy is subsidized while breeding insects isn't. In some areas of Adrica, entrepreneurs collect waste food and even run public dry toilets to feed insects like black soldier fly. BSF is easier to keep clean than many other insects because the adults don't eat.

less efficient in what way? you could probably raise crickets in a smaller space and with less resources.