In my experience, cats are pretty good determining whether something they've caught should be eaten - one of the cats I grew up with was an avid hunter but while he played with a rat that had eaten poison, he didn't try to eat it. The other cats I've lived with haven't been as eager to hunt but none of them ever tried to eat anything poisonous although they'd eat bugs quite cheerfully (including crunching down on grasshoppers).

If you're not poisoning the bugs that get in, there shouldn't be a problem - but keep an eye out for venomous spiders that are common where you live. Your cat probably won't try to eat those, but hunting them could get the cat bitten, with ugly consequences.