This is an absurd comparison in the context of food. When it comes to eating animals, we (Westerners) are used to eating muscle tissue. Cows and lobsters have large, edible muscles that can be separated from the rest of the body for consumption, cockroaches do not.

Not even if scaled up to the size of a lobster?

I have no idea about the cockroach's muscle:body ratio relative to commonly eaten animals. But again, this is following an absurdist line of argument.

Our culture will produce many food science innovations before we get around to engineering lobster sized cockroaches. (And even if we did, you are likely back to square 1 in terms of eating large, environmentally inefficient animals for protein.)