Well... I think it's pretty possible that cockroaches, even after many generations, keep some of the bacterial flora from their original habitats... But maybe it shouldn't be considered dirtiness, for maybe this could even be good for them

(...who knows). I think, as soon as the cockroaches reproduce successfully there's nothing to worry about.
Another topic could be the implications of keeping unsuspected cultures of foreign bacteria, this could be bad for other colonies you keep and... for the environment in general. But come one... all the time the human commerce is feeding back (in big scale) the bacterial flora of the whole world