Lilienthal himself didn't, as far as I know, address your precise argument (the water strider bug scaling issue). But your comment reminded me of this snippet from his 1889 book:

  The bodies of flying creatures are not so materially lighter than those of other animals, as to justify us in considering this difference in weight an essential condition of flight. It is often asserted that the hollow bones of birds facilitate their flight, especially since the hollows are filled with heated air, but it does not require much thought to come to the conclusion that this diminution of weight is barely worth mentioning. Also, we have not been able as yet to prove that the muscle and bone substance, as well as other parts of the bird's body, are specifically light. [...] After a bird is plucked, no one will assert that it is propor­ tionally lighter than other animals, and our housewives are certainly not under the impression that a pound of bird's flesh, even with the hollow bone included, is more bulky than an equal weight of flesh from another animal. [0]

[0] Otto Lilienthal, Birdflight As the Basis of Aviation, pages 2-3, https://s3-eu-west-1.amazonaws.com/bga-sg-archive/Books/BIRD...